Morgoneth set’s damage conversions were a remainder of an old approach to item design which has since shifted, especially with FoA sets, where dual-damage sets feature less conversion modifiers while supporting items help fill in the gaps.
The set should be viable both in Cold builds and Vitality builds. In the next build, Wind Devils on the set will receive Cold damage modifiers, while the Nightbringer unique will allow you to make them fully Vitality-based, and other existing (and upcoming) items will let you turn them into full Cold.
At the same time, the Shadow Strike support on the set will be full-vitality, with the base conversions on the set pieces converting Pierce and Cold to Vitality, instead of the current mix. Ill Omen remains with its existing Cold support.