If you didn't bake the cheesecake for long enough before you pulled it from the oven, it might still be unset. Something that's unset has not yet hardened or turned into a solid state.
Usually, unset is used when referring to substances that need to firm up before being used or consumed — think concrete, glue, pudding, or gelatin. The word is also sometimes used to refer to precious stones, like diamonds or rubies, that haven't yet been made into jewelry by being mounted on a metal frame. A bag of unset gems might be a nice gift for a collector or jeweler, but you couldn't wear them on your body.