try first to update the package list:

sudo apt-get update

then:

sudo apt-get install xset

I tried that and I am having the same issue

The latest update :
I found that the xset tool should be already installed at some OSs ( Kali) but the problem is that my keyboard Led is not working even after I tried :
xset led 1
xset led 2
xset led 4
....
....
xset led 32

xset is already installed in kali light.

I successfully do the following in a startup script:

xset \
dpms 0 0 0 \
mouse 0 0 \
s 0 0 \
s off \
s blank \
s noexpose \
b off \
-dpms

And can use xset to turn on/off keyboard autorepeat.

BUT I have NOT been able to turn on/off any led using xset on this Toshiba laptop.

The command:
xset q
The q option gives you information on the current settings.
man xset

If I manually ( using the keyboard ) turn on num lock
then do 'xset q' I see that the value of num lock is on.
But I can not change the value with xset.

Due to the age of the OS (Kali Moto [v1], Kali Safi [v2], Kali Rolling 2016.x/2017.x), these legacy versions are no longer supported.
We will be closing this ticket due to inactivity.

Please could you see if you are able to replicate this issue with the latest version of Kali Linux - https://www.kali.org/downloads/)?

If you are still facing the same problem, feel free to re-open the ticket. If you choose to do this, could you provide more information to the issue you are facing,and also give information about your setup?
For more information, please read: https://kali.training/topic/filing-a-good-bug-report/