Multi Volume sets can be combined in 1 set by giving them the same album title
This results in the famous 11.., 22.. problem.

Players like JRMC support the Disc Number tag.
First assign a disc number to each set then give them the same album title.
As a lot of media players don’t support the Disc Number, you will hit problems the moment you e.g. synchronize to a portable.
JRMC has a library option to number the tracks consecutively as displayed but then you lose the original track numbers.
A simple trick is to us an expression
Math([Disc #]*1000+ [Track #])

Now they sort consecutively while preserving the original track number.
Of course you can roll back using
Math([Track #]-[Disc #]*1000)