My 2005 Proof set had a missing piece in the "E" of ONE on the reverse. Should I have returned this or is it something worth keeping? I assume this is caused by a piece of something getting stuck in the die during the minting process.

I'd keep it.

Keep it

I really can't tell from the pictures. If it's just a flat spot in the frosting - return it. If it's an indentation in the E, keep it.

If you like it - keep it no matter what. If you hate it -- ditch it.

I don't see why you would return it. If you are going to return it, you might as well sell it off as "minting defect" and I am sure there are quite a few people who are interested in minting defected coins. Probably would make a few bucks off from that...

Since it is a 1995 set you might as well keep it, cause I don't think the mint really wants it back after 10 years.

Yep, a flat spot in the frosting would make it look like an impaired proof even if it came from the mint that way while an indentation in the letter would make it an error or die variety. Being ten years old, maybe that's already a recognized die variety.

keep

Wait a sec, how did you managed to capture that picture? Using a digital camera through a loop or by QX microscope? o_O

It is a 2005 set not a 95 set, sorry for the mistake, I'll fix it in the original post. It is an indention in the letter not just some missing frost. I do plan on keeping it since it is the first set I've gotten with anything out of the ordinary. I saw another thread about sending sets back for replacement so I was curious if this was something people return sets for.

I took the picture with a digital camera through the eyepiece of my binocular microscope. This was the first coin I tried to take a picture of.

Binocular microscope? Why that's really ingenious!!! Never thought of that, thanks!

List it on eBay as a "New and exciting recently discovered variety!"

Keep it...

Looks like a chip or something. Personally i'd send it back and request a perfect replacement set.