I have just checked the English instructions for my Rx16 and a Rx7 and cannot find an instruction not to use the set button in diversity mode.
In diversity mode the receivers exchange the received signal before the decoding stage, so if you are plugging all the servos into the RX-9 then you only need to set the failsafe on that receiver.
Note when you pair two receivers together in this way you do not gain any additional channels, channel 1 on both receivers will be identical, so you can't pair a 9 and 7 channel receiver to get 16 channels, what you do get is an additional 1 or 2 aerials so enhanced reception coverage.