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So I'm just wondering, how much is the approach affected by the set?
Yea, basically you need to speak louder and project more (by having an open body posture)
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If its a 2-set of girls, would there be a more favorable way to approach than a mixed set of 4-5?
Some routines are better suited to mixed sets than to girls alone. For example guys won't really want to hear about astrology and palm reading stuff.
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What if the girl is alone? Assume a non-club setting, just everyday at the mall or at school/work.
I find when girls are alone it is better to go direct, or at least make it direct very soon. Their guard will be down and be easier to talk to, but you probably won't have their attention for long because they probably have some place to be. Even opening like "are you single?" then when she is shocked and looking for her answer you can hit with "because you have this great energy about you that I find very endearing (or whatever)." If she isn't warmed up to you enough than you can even hit her with "mmm, are you rich?" afterwards and keep teasing her.
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How do you know if the HB isn't turned off by a certain way of approaching (C&F comes to mind for this)? Or they are very unreactive and shy until they get to know you?
Most anything that is taught by the big MPUA's is legitimately tested and works. Sure certain women respond more favorably to some dialog than others, but that is up to you to calibrate. You are only going to understand this part with practice, not by reading.