Besides the T0 set part, there were also other T0.5 and T0 set items that could be obtained through quest levelling.
These class sets and other parts that provided fire resistance attributes were a necessity for exploring the Molten Core. For example, the Mage set had a special effect that reduced the aggression for dealing spell damage.
After all, it was too easy for Mages to take aggro in the Molten Core and they were on alert the entire time while dealing damage.
Although there was a small chance for set parts to drop and Nightmare mode didn't contribute anything to the drop rate, there were so many monsters in the dungeon. As long as they were willing to spend time here, there was bound to be some sort of reward.