I sent an inquiry to Google because click throughs from my adwords campaing were giving an (not set) message instead of the keyword that clicked through. They responded back suggesting that it could be a problem with the placement of the analytics code, which is set by your plug-in. Here's what google said:
Thank you for your inquiry. Hope you are doing well :)
I understand you are concerned about the (not set) data you see in the Analytics account. I checked your Analytics account and I in fact see that your Analytics account is able to track these visits but is unable to attribute the source of these clicks.
You can check the screenshot I have attached to see that the clicks are showing up but the visits are not getting attributed correctly.
You can take the help of your webmaster and also check if the Analytics code is correctly placed and you can follow the steps mentioned in the following two links. Hope this helps!
Once you have placed the code correctly, check your Analytics account in 24 hours and see if the data s tracking correctly. This should resolve the issue. Do let me know if you need any further clarification with this or if this is not resolved and I will be happy to assist you :)
Awaiting your response. Have a great day ahead :)