If a film ( or play, or book or TV series) is set in a certain place, it means that this is where the action of the story takes place. When someone writes a story or makes a film, it is set in a certain place and a certain time - for example, 'Outlander is set in 18th-century Scotland'. The film is set in New York = The film tells a story about something happening in New York. We don't know where it is being made (it could be shot in a studio in Hollywood or Bombay) The film is being made in New York = The film company are shooting the film in New York. We don't know where the action is set (it could be a story about anywhere in the world, shot in a studio in New York).

"Set" in this use means that the story happens in New York - in the world of the story, the characters inhabit New York. "The film is being made" refers to where the filming takes place, and this could be in a studio anywhere, or in another city - Toronto, or London. So the difference : "the film is set" = where the film story happens / "the film is being made" = where the actors and crew are playing and recording scenes in front of a camera.