All the same it would be a terrible misfortune to lose set (7)
I believe the answer is:
uniform
'all the same' is the definition.
(I've seen this before)
'terrible misfortune to lose set' is the wordplay.
'terrible' is an anagram indicator.
'to lose' suggests deleting specific letters.
'misfortune' with 'set' taken away is 'miforun'.
'miforun' with letters rearranged gives 'UNIFORM'.
'it would be a' is the link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for uniform that I've seen before include "Unvarying - work clothing" , "Evening" , "Steady, unchanging" , "reluctant pupils may be forced to wear it" , "Flat" .)