Попробуйте:
[i for i in sets if all(j in s for j in i)]
Тест:
In [226]: sets = [{1, 2, 3}, {6, 7, 8}, {1,2}, {3}, {7,1}, {7,8}, {8}]
In [227]: s = {1, 2, 3, 4, 5, 6, 7}
In [228]: [i for i in sets if all(j in s for j in i)]
Out[228]: [{1, 2, 3}, {1, 2}, {3}, {1, 7}]