It is usually possible for a PUA to recover a set, even if it is going poorly. Things can go bad at every stage of the pickup, but there are usually ways to get around them. A poor approach can be recovered from by blowing past bitch shields and reframing bad first impressions. Stalling sets can be recovered by stacking forward with a routine or asking open ended questions. Last minute resistance can be overcome by plowing through and using freeze-outs.
The only time a PUA should give up on a set is when he is told explicitly to go away. Otherwise, he should keep a strong frame and proceed confidently, as there is always the possibility of a last minute recovery.
An extreme example of a recovery is given in a field report by Badboy: his direct game approach offended a girl who was having a bad day, and she poured her drink all over him. However, he remained calm, wiped off the drink, and then proceeded to get a full jar of water from the bar. He slowly walked over to the girl and poured the whole jar of water all over her. According to his recounts, at first the girl was surprised, then angry, and then uncontrollably attracted to him. He maintained his strong, direct, and unapologetic frame. The HB ended up making out with him, while she was all wet (and probably got wetter afterwards).