Working with UV sets in Maya and ShaderFX can be a bit confusing.
Here is how it works.
On the Texture Map node, or UV set node, there are two options:
1. UV set index
2. UV Set Name
You use one or the other.
If you don't rename your UV sets in Maya, the default names of your UV sets will be:
3: uvSet2 ... etc
When you choose to use the UV set index on the ShaderFX nodes, it will attempt to find a UV set by those names. So when you specify index 2, it will try to find a UV set with the name: uvSet1.
Not very obvious, but the default naming of UV sets in Maya is weird (why is 0 called "map1" and then the rest called "uvSet..." is not clear to me).
If, however, you give your UV sets a custom name, then you must specify its exact name on the Texture Map or UV Set node in ShaderFX.
For example, had we called our second UV set "LightMapUVs" then we must enter that exact name in the "UV Set Name" on the ShaderFX node.