Here is the one-liner code that you can use to create the set using the values of a dictionary:
>>> aa = {'a': [1, 2, 3, 4], 'b': [3, 4, 5], 'c': [1, 4, 5]}>>> {value for values_list in aa.values() for value in values_list}{1, 2, 3, 4, 5}>>>