If I play Deathgrip and save the unit with Sett, can I still give the might to another unit?

No, you cannot give the Might bonus to another unit if you save the first unit with Sett's legend ability.

Ruling

The Might bonus provided by Deathgrip is contingent on the successful completion of the "Kill a friendly unit" instruction. Because Sett's ability is a replacement effect (Rule 366), it replaces the "die" event with a "heal, exhaust, and recall" event. Consequently, the unit is never actually killed. Since the condition "If you do" is not met, the subsequent instruction to give Might does not execute.

Sequence of Events

1. Play Deathgrip: You target a friendly unit to kill and another friendly unit to receive the Might.
2. Resolution: As Deathgrip resolves, it attempts to kill the first unit.
3. Replacement: Sett's ability triggers as a replacement effect, replacing the death with a recall.
4. Condition Check: Because the unit was not killed, the "If you do" condition for the Might bonus fails.
5. Finalization: The Might bonus is not applied. However, you still draw 1 card, as the draw is not contingent on the kill.

This interaction is consistent with FAQ #8401, which clarifies that if you do not actually kill the target (for example, because its death was replaced), you do not give the second unit any Might, though you still draw the card.

Note: I could not fully verify this ruling against the retrieved rules.