Fallback means that a mirror image of the data stored on a given amp is also maintained on a different amp. So a fallback table will generally require double the amount of space (and I/O operations) as the same table defined as non-fallback. Fallback enables you to continue operating against a given table even in an AMP-DOWN situation as the database will simply use the Fallback copy of data and then re-build the primary when that AMP comes on-line.
Set and Multiset have nothing to do with fallback. They refer to the prevention of duplicate rows. Set will filter out duplicate rows while Multiset allows them.
Fallback tables are stored in perm-space just as a normal table is. The same restrictions apply.