Why does one announce "Thrust Set"?
There was at least one incident where a Boeing 737 attempted to takeoff with the throttle levers not set to takeoff power.

The procedure is designed to ensure


the thrust lever is where it is supposed to be
the engine indications show the correct amount of power is produced


In some airlines, the procedure calls for both pilots to put their hands on the levers and advance them together. Either way, the purpose is to have both the pilot flying and pilot monitoring to ensure takeoff power is properly applied.