I found this site, a kind of Linux Kernel Driver Database,
https://cateee.net/lkddb/format.html
According to the site, the items related to ipset are
CONFIG_NET_EMATCH_IPSET
CONFIG_IP_SET
CONFIG_IP_SET_BITMAP_IP
CONFIG_IP_SET_BITMAP_IPMAC
CONFIG_IP_SET_BITMAP_PORT
CONFIG_IP_SET_HASH_IP
CONFIG_IP_SET_HASH_IPMAC
CONFIG_IP_SET_HASH_IPMARK
CONFIG_IP_SET_HASH_IPPORT
CONFIG_IP_SET_HASH_IPPORTIP
CONFIG_IP_SET_HASH_IPPORTNET
CONFIG_IP_SET_HASH_MAC
CONFIG_IP_SET_HASH_NET
CONFIG_IP_SET_HASH_NETIFACE
CONFIG_IP_SET_HASH_NETNET
CONFIG_IP_SET_HASH_NETPORT
CONFIG_IP_SET_HASH_NETPORTNET
CONFIG_IP_SET_LIST_SET
So I should search for "IPSET" and "IP_SET" from /proc/config.gz.
Then, I found only a comment, "# CONFIG_IP_SET is not set" as below,
root@epc1502:~# zcat /proc/config.gz | grep -i IPSET
root@epc1502:~# zcat /proc/config.gz | grep -i IP_SET
# CONFIG_IP_SET is not set
root@epc1502:~#
It seems that I can't use ipset unless the kernel is rebuilt with any option to enable ipset.
But the vendor doesn't provide any kernel rebuilding way.
I believe this is because they tuned the product strictly for real-time factory automation control.
So, in this case, I should give up using ipset with this device.