Although it is not directly documented, CPMutableSet -addObject should raise with nil or undefined.

Foundation/CPSet/CPSet.j

@@ -424,9 +424,7 @@ var CPSetObjectsKey = @"CPSetObjectsKey";
     {
         var value = [object valueForKey:aKey];
 
-        // addObject: should be smart enough not to add these, but just in case...
-        if (value !== nil && value !== undefined)
-            [valueSet addObject:value];
+        [valueSet addObject:value];
     }
 
     return valueSet;

Foundation/CPSet/_CPConcreteMutableSet.j

@@ -85,7 +85,7 @@ var hasOwnProperty = Object.prototype.hasOwnProperty;
 - (void)addObject:(id)anObject
 {
     if (anObject === nil || anObject === undefined)
-        return;
+        [CPException raise:CPInvalidArgumentException reason:@"attempt to insert nil or undefined"];
 
     if ([self containsObject:anObject])
         return;