They are selling me the diamond and the ring separately & sending me to a jeweller for him to set the diamond, what could go wrong?

The diamonds could fall out and you could be left with a ring and no diamond so before you put any money down, ask the supplier and the jeweller/stone setter for a written guarantee relating to who will cover what if diamond falls out in the first year and sequence years.  The correct setting of your stone protects your investment. Each diamond is unique and the jeweller who makes the ring and the diamond setter should work together to ensure a secure setting.