Mercurial sets are the 4th option for gunners. Typically sets revolve around damage, MSI, or CTR, these boosts can help you deal more damage but can't always keep you safe.
MSI gives you an edge when you need some movement speed and allows you more agility to dodge about.
Unfortunately the FSC (most commonly farmed mission in the game) has lots of fire and shadow damage.
Mercurial can find some use here and these but it is typically left out since most players opt for more offensive loadouts. Still, I made my way through the game in the Mercurial set and you can too if you want.