I've tried to use #title_dysplay => 'invisible' in my form to hide fieldset label, so I can use custom markup to improve semantics on that page and discovered that #title_dysplay does't work on fieldset element.
I've also used this method to hide label from radios which is working just as expected.
I did this in custom module using hook_form_alter() function.
Resource links:
http://api.drupal.org/api/drupal/developer!topics!forms_api_reference.html/7#title_display
http://api.drupal.org/api/drupal/developer!topics!forms_api_reference.html/7#fieldset
http://api.drupal.org/api/drupal/includes!form.inc/function/theme_fieldset/7
http://api.drupal.org/api/drupal/includes!form.inc/function/theme_form_element/7
http://api.drupal.org/api/drupal/includes!form.inc/function/theme_form_element_label/7