5only out of treasure bags
Red's set is developer vanity, and the only route in is a Hardmode boss treasure bag. That makes it an Expert or Master item by default, since bags do not exist in a classic world. Queen Slime is the one Hardmode boss whose bag never holds it. The odds per bag are low without being punishing, so it usually turns up on its own across a full playthrough rather than needing a dedicated farm.
the pieces that are not vanity
Two items in the same pool actually do something. Red's Wings and Red's Throw drop alongside the clothing and go into real equipment slots rather than social ones. The wings could hover and fly indefinitely back when the set was unobtainable, which is why old screenshots of developer characters look absurd. They were brought in line when the set became a normal drop.
a small side effect
Wearing it locks the companion from the Fairy Bell to its blue form. Nobody notices until they want a specific color for a build, and then it is maddening.
where the look comes from
The armor is modeled on Golbez from Final Fantasy IV, by Redigit's own account, and the wings likely nod at the Red Wings, the fleet Golbez commanded in that game. Before the set existed his in game outfit was a Gold Helmet worn with the Frost Breastplate and Frost Leggings, dyed black and blue for a glow that imitated Hallowed armor.