I would say they would definitely set.
I just made some for DH's christmas morning tea tomorrow, with christmas M&M's and gold cachous. Looks very christmassy.
My advice is to make it in the microwave because it won't get as hot as on the stove top and you can chuck all the ingredients in at once. We didn't have any vanilla so I added a tsp of instant coffee to the condensed milk and nuked that together and beat it in. Also don't fret if it looks like it's not going to combine as you just stir it really well with a wooden spoon and it will. I did 30 second bursts and stirred each time.

