A Seed Saving Question.

You plant onion seed very close together so that stunted bulbs are formed for planting the next year. The exact details I do not know but I imagine that if you plant the seed too early they will all bolt to seed the next Spring and if planted too late they will not form bulbs at all.

A proportion of sets you buy always bolt anyway unless you pay a little more for heat treated ones where any embryo flowers have been killed.

The phrase heat treated comes to mind in association with onion sets, don't know what they actually do to them though, so as you quite rightly say, you might as well give it a go.
(And let us know how you get on.  )