Edit: Clarification, this is about the Gladiator set, not Combatant
Vindictive and Fearless are supposed to share the transmog for PvP gear.
So I noticed the paladin set is bugged for transmog since season 2 (fearless).
A GM actually confirmed it, and said it was a dev problem now.
After I sent screenshots comparing the UI as well where it shows tooltip of both sets just fine for other classes it got clear it's a paladin class issue.
Hope they will fix it soon, just wanted to give other paladins a heads up.
Keep the pieces in your bag/bank I'm sure it will still unlock once it's done.