Ive also gotten set items from bloodshards. (offhand)
Which one? Chantodo's, I guess? Because Firebird's/Tal's cannot be acquired through Kadala afaik.
Wrong. Tal's can be obtained with bloodshards too. i got my off hand for tal's set from Kadala
I see people report this over and over when it's not intended to happen. I believe Blizzard also looked into this a while back (post on the official wizard forum) and they've stated they found everything to be working as intended, which means no Tal, Vyr or Firebird set pieces could be obtained through gambling. I've seen no videos nor screenshots of such occurrences, so I'm personally having a hard time believing what people are saying out there. My clan of incredibly active wizards (50+ members, 90% play numerous hours daily) have not experienced gambling any Tal, Vyr or Firebird pieces in the countless hours we've spent gambling (including sources).
So, not sure what's going on here.
At OP: Vyr pieces drop anywhere. At the moment, that means anywhere in Torment I+. You currently cannot (and should not be able to) obtain them through Horadric Caches or Kadala.