The main issue is that BFO calculates the page numbers per document, and in a pdf set, each individual PDF is considered a separate document, even though they are combined into a single file. The documentation for the element is here:
https://bfo.com/products/report/docs/tags/tags/pagenumber.html
The only real solution I have seen work is to combine the documents together into a single pdf (not using pdfset), and use custom data sources with scripting to generate the document instead.