The trick is not to loop over the dynamic set but over the constant set using the dynamic set as a conditional
scalar timestep /3/ ;
Set
Year /2014*2033/
delayYr(year) ’ Years’
;
delayYr(year)$(mod(ord(year)-1,timestep)=0)=Yes;
display delayYr;
scalar val;
loop(Year$delayYr(year),
val = ord(year);
display val;
);