I was just talking with TechnoEmail and Cinco about what is going on with the Dragon Armor, Dragon pets and the Set Bonuses. So, to be clear, the bonuses that the red and blue dragons are currently giving is a bug - it was always intended that you would need the dropped armor (helm and chest) and the pet to gain that set bonus. Here is what I know about the changes that we should be patching out later today to fix the issue.
There will be 4 sets of armor that have a rare chance of dropping from any of the bosses in Mt. Fang
Blue Dragon Armor
Blue Dragon Helm
Red Dragon Armor
Red Dragon Helm
Green Dragon Armor
Green Dragon Helm
Gold Dragon Armor
Gold Dragon Helm
If you wear one of the above sets and combine it with the appropriate colored dragon, or the rare gold dragon Mitas, it will convey a set bonus.
There will be no set bonus with the store bought gold armor, only the dropped armor from Mt. Fang bosses.
Look for patch notes later today to know when these changes are out. Thanks very much for everyone's feedback about the pets and our apologies that the initial implementation was not bug free.