When a friendly unit is saved from death by Sett's legend ability, does Altar of Memories trigger?

No — Altar of Memories does not trigger.

Sett's legend ability is a replacement effect ("If a buffed unit you control would die... instead"). When you use it, the death event never occurs — the unit is healed, exhausted, and recalled to base, but it never actually dies. Altar of Memories only triggers on "When a friendly unit dies," and since no death event happens, its condition is never fulfilled. Same reason a saved unit's own Deathknell doesn't fire (FAQ #2295; CR 369).