Creating a new Document Set for a new branch plant/customer

How to get delivery documents to show on screen when printing delivery documents from Work with Shipments?  We have set up a new document set, tied the documents to the set, tied the customer to the document set, set up next numbering, and shipment depot.  When we go to work with shipments for that customer and select Print Delivery Documents, the list of documents in that set do not show.  We cannot see how to get the documents in the P49591 application,