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It seems like it's not being added. A similar question was already raised in the thread about leveling up special abilities; we came to the same conclusion back then. My explanation: the Lion set is precisely needed to give the hero this ability. All abilities (not just active ones, but passive ones too!) are actually spells; that's how the game mechanics work. Not all spells are displayed in the spellbook. Some of them (passive skills) activate automatically at the beginning of the battle. Therefore, the Lion set gives the hero this spell, Empathy, but the same spell (with rare exceptions) cannot be cast twice, so the effects won't stack.