"Dazzling" is a great adjective to describe a sunset because it means both bright and admirable.
Some other common choices are "spectacular" and "astonishing".
As for the use of the expression "never laid eyes on", it means you have NOT seen or "DON'T SEE".
For example, people say, "I have never laid eyes on him before". (meaning they have NOT seen the man ever before)
You could say, "I've never set eyes on such a dazzling sunset BEFORE".
You could say, "I have never before set eyes on such a dazzling sunset".
You can use the expression "set eyes" without the word NEVER. It means that you "DO SEE".
For example, "I set my eyes on the dazzling sunset". (meaning you looked at it with admiration)
Hope this helps