Chaosmancer
Legend
Where are you getting these homes in the great wheel?
In 1e Deities and Demigods about half of these are different, Set lives in the Nine Hells, Loki's plane is listed as Gladsheim or Pandemonium. Thyrm and Surtur are listed as Gladsheim (Jotunheim). The 1e Manual of the Planes talks specifically about Set's conflicts with the archdevils on Hell.
1e MoP Page 111:
"A very different relationship exits with Set, the Greater Power of the Egyptians, whose single-minded pursuit of vengeance against Osiris, Horus, and the rest of his pantheon exceeds even the hatred of Loki for the inhabitants of Gladsheim. Set can accept no equals, only subservient minions. While a united devilkind is too powerful to defeat, they are not powerful or unified enough to launch a war and drive Set from "their" hells. For this reason Set controls a large swath of the first layer of Avernus, which under his command is lit by a blazing sun and is as bone-dry as the desert. Set makes his home in a great palace of white stone. Captives are set to work erecting a massive pyramid that he hopes will fill his layer and create his own set of planes between the Nine Hells and Acheron. If you are looking for a good example of a mad god, Set comes dangerously close."
Most of them seemed to be from later books, like the 3rd edition one, Deities and Demigods.
Loki for example does have a home on Pandemonium, but also has a home in Asgard.
I also never saw the stuff on Set when looking it up.