Hi Leonard,
If you successfully ran the mh.all file then that should have already included the Angiogenesis set, you shouldn't need to run it separately and it should definitely work with the same chip as that .mh.all file.
I suspect that the message you received is a result of a known bug that can occur in the version matching check that we recently added when some files are reloaded from the application cache.
Was this actually returned as an error message or just as a warning that you could click through? If it was just a warning it can be safely ignored. If it was an actual blocking error message downloading and loading in both the chip and gene set files from local copies should allow you to bypass it.