They have to ask themselves whether it is worth cutting Britain loose in the hope of discrediting nationalist and illiberal forces across the EU. Set against that, they must take into account the risk that a no-deal Brexit would deepen Europe’s economic...

【翻译】他们不得不扪心自问，为了让整个欧盟的民族主义和非自由主义势力蒙羞，是否值得给英国松绑。与此相反，他们必须考虑到没有达成协议的英国退欧会加深欧洲经济的风险…

【分析】Set against that 是过去分词短语作“时间状语或条件状语”，其逻辑主语是后句的they，被动关系。

Set against that = When/If they are set against that 

字面意思：若将他们置于与此相反的情况，引申为“与此相反；与此对照”。

against 表示“在事物的反面；与之相反”

这个分词短语，意思上是表示下句与前句之间的对比与转折。但就它本身的语法作用而言，则是个“时间状语或条件状语”。

the risk 后面接了一个同位语从句，一并作take 的宾语。