DESTDIR is actually set to the default value, I think; the problem is
that the directory never got created.

  I think it would be worthwhile to add the proper prerequisites to the
  "sets" target. Some folks might like to use that to build "sets" plus
  their own custom kernels, skipping the GENERIC kernels and "distrib"
  stuff.

Perhaps.  At the same time, it's nice to be able to run the build in
stages, so I wouldn't want 'make sets' to redo everything earlier
either.  I really don't know what the right thing is.  I just got a
very odd error message, and was hoping to save someone else from
puzzlement later.