The six sets represent the continents: Africa, Europe, Asia, N America, Oceania, S America. Listed are those letters that have one (and only one) capital city beginning with that letter in that continent. Eg. In the 2nd set, Zagreb, Helsinki, Dublin & Oslo are the only European capitals to begin with those letters.
Colmaggio, you've done it again!!!!!!!!!. Of course you are quite correct and explained it perfectly. ...... For the fourth time you have smashed one of my CHALLENGES. Congratulations again, you have my admiration and another 'Gold Challenge Medal' :o)