That's debatable - a lot of people run a MACO Shield with the other 3 Borg parts, for instance
Also, one part of the Borg set is gotten from a regular mission - you get the assimilated console from Assimilation (Undine Advance).
Oh yeah, the Console is totally worth it. The shields are not good, though.
Personally, I'm going to outfit my Escort Retrofit with the new Jem'Hadar set + the Assimilated Console. Just waiting to see how the shields look in the next episode, to see if it's worth that instead of the M.A.C.O. shields.