I just received a notification from the Nintex support to confirm that the Dev Team considers it as a bug.
This would be fixed in a next release.
I'm actually trying to setup something exactly like this! how did you setup your workflow to create a docset when a submission is made?
I'm not really sure about what you're looking for.
In my scenario, there's a list item which collect data. In its form, I've added the custom validation function in order to obtain the expected label, used to create the document set in a second time.
Saving the item starts a workflow which uses the "Create item" action on a specific "Document set" content type with the previous label.
Is it what you're looking for?