Why would you need two sets if it converts to a radio signal?

You don't need two sets. Not usually.

The only time you need two sets is if you want the signals to go in the opposite direction. For instance, if you wanted to control the livingroom VCR from the bedroom, then you need only one set.

But if you ALSO wanted to control the bedroom stereo from the livingroom, that's when you need the second set. This is what Ynot said he needed.