Did cows live in a sett?

No. (For those of you who don't know what a "sett" is, it's another name for a badger burrow or den.) Cows, for one, are far too big to live in a sett, and for two, don't live underground--as a matter of fact that's where they naturally prefer not to go! They prefer to live above-ground where they can keep an eye out for predators without being impeded by walls of earth surrounding them.