It occurs to me that there's another reason why Osiris has Horus by Isis and Anubis by Nephthys: in the material world (and Earth and Water are both material), a soul needs a body in order to operate, and these children are, in a sense, the prototypes of the bodies we possess. However, rays of light penetrate easily through Air and do not need to be encapsulated in a separate form to subsist, and so Set does not have children of his own. (Not only are he and Osiris both male, but Set is furthermore sterile.)

Proclus talks about the same thing in one of his commentaries somewhere: individual souls themselves are a "luminous vehicle" or "vehicle of light" (the rays which emanate from Fire); however, in Water they illuminate a "pneumatic vehicle" or "vehicle of breath" and in Earth they further illuminate a "shell-like vehicle."