view/adminhtml/layout/custom_entity_set_index.xml
<?xml version="1.0"?>
<page xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:framework:View/Layout/etc/page_configuration.xsd">
<update handle="scoped_eav_set_grid" />
<body>
<referenceBlock name="menu">
<action method="setActive">
<argument name="itemId" xsi:type="string">Smile_CustomEntity::attributes_set</argument>
</action>
</referenceBlock>
</body>
</page>