A pro-set is a pro-object in the category Set.
This should not be confused with proset, an abbreviation of “preordered set.”
Since $Pro(Set)$ is the free completion of Set under cofiltered limits, any functor out of $Set$ into a category with cofiltered limits extends uniquely to a cofiltered-limit-preserving functor from $Pro(Set)$. In particular, we can consider the functor $Set \to Loc$ from $Set$ to the category of locales which regards a set as a discrete locale.
If $(S_i)_i$ is a pro-set, which we may WLOG assume to be indexed on a directed poset, then the corresponding locale $\lim S_i$ is presented by the following posite. Its underlying poset is the category of elements of the diagram $(S_i)_i$, i.e. its elements are pairs $(i,x)$ with $x\in S_i$, and we have $(i,x)\le (j,y)$ if $i\le j$ and $s_{i j}(x)=y$, where $s_{i j} \colon S_i \to S_j$ is the transition map. The covers in the posite are generated by $(i,x) \lhd s_{i j}^{-1}(x)$ for any $i,j,x$.
Thus, the open sets in the locale $\lim S_i$ are the “ideals” for this coverage, i.e. sets $A$ of pairs $(i,x)$ which are down-closed and such that if $(j,y)\in A$ for some $j$ and all $y\in s_{i j}^{-1}(x)$, then $(i,x)\in A$.
On the other hand, there is a naturally defined functor $\Pi_0\colon Loc \to Pro(Set)$ which sends a locale to its pro-set of connected components. The vertices of the cofiltered diagram defining $\Pi_0(X)$ are decompositions $X = \coprod_{i\in I} U_i$ of $X$ as a coproduct of open subsets, and the corresponding set is the index set $I$. A morphism $(U_i) \to (V_j)$, called a refinement, consists of a function $f:I\to J$ such that $U_i$ is contained in $V_{f(i)}$; the corresponding function is of course $f$.
This diagram is cofiltered:
It is nonempty, since $X$ is the 1-ary coproduct of itself.
Given decompositions $(U_i)$ and $(V_j)$, the decomposition $(U_i \cap V_j)_{i,j}$ refines both of them.
Given parallel refinements $f,g:(U_i)\to (V_j)$, for each $i$ we have $U_i \subseteq V_{f(i)} \cap V_{g(i)}$. If we define $K = \{ i | f(i) = g(i) \}$ and $W_i = U_i$ for $i\in K$, then we have an obvious refinement $h\colon (W_k) \to (U_i)$ and $f h = g h$. It remains to show that $(W_k)$ is actually a cover of $X$.
Since $V_{j_1} \cap V_{j_2} = \bigcup \{ V_{j_1} | j_1 = j_2 \}$ (the latter being the join of a subsingleton), we have $U_i \subseteq \bigcup \{ U_i | f(i) = g(i) \}$ (another join of a subsingleton) and thus $U_i \subseteq \bigcup_{k\in K} W_k$. Thus, since the $U_i$ cover $X$, so do the $W_k$.
The classical mathematician may be forgiven for thinking this last argument to be more confusing than necessary, since classically, either $f(i)=g(i)$ (in which case $W_i = U_i$) or $f(i)\neq g(i)$ (in which case $U_i = \emptyset$). Constructively, however, the more involved argument is required.
Note that if $X$ is locally connected, then it has a “minimal” such decomposition, namely its decomposition into connected components. Thus, in this case $\Pi_0(X)$ is a mere set.
This is the (0,1)-topos version of the fundamental group of a topos or the fundamental ∞-groupoid of an (∞,1)-topos.
The functor $\Pi_0\colon Loc \to Pro(Set)$ is left adjoint to $\lim\colon Pro(Set)\to Loc$.
Since $\lim$ is given by regarding a pro-set as a diagram of discrete locales and taking its limit, it suffices to show that morphisms of pro-sets $\Pi_0(X) \to S$, for a set $S$, are equivalent to morphisms of locales $X \to S_{disc}$. But a locale map $X \to S_{disc}$ is precisely a decomposition of $X$ into disjoint opens indexed by $S$, which exactly defines a map $\Pi_0(X) \to S$.
If $X$ is an overt locale, then every decomposition is refined by a decomposition into positive elements, so we may as well consider only decompositions into positive opens. If we do this, the cofiltered category indexing $\Pi_0$ becomes a codirected poset, since (in the argument above) each $(U_i)$ is covered by $\{ U_i | f(i) = g(i) \}$, which must therefore be an inhabited set for all $i$, so that $f=g$. Moreover, since in any refinement $f\colon (U_i) \to (V_j)$, each $V_j$ is covered by $\{ U_i | f(i)=j\}$, in this case the transition maps of the resulting pro-set are surjective. However, for a non-overt locale (which, recall, cannot exist classically, it seems that the pro-set $\Pi_0(X)$ need not be surjective in this sense.
It is well-known that when restricted to the subcategory $Pro(FinSet)$ of profinite sets, the functor $\lim$ is fully faithful and in fact lands inside the subcategory of topological locales, its image being the category of Stone spaces.
It is also true that when lifted to progroups, the functor $\lim\colon Pro(Grp) \to Grp(Loc)$ into localic groups is fully faithful when restricted to strict or surjective progroups (those whose transition maps are surjective).
However, in general the functor $\lim\colon Pro(Set) \to Loc$ is not an embedding. For a counterexample, consider morphisms $S\to 2$, where $S$ is a pro-set and $2=\{\bot,\top\}$, regarded as a pro-set in the trivial way (and thus giving rise to a discrete locale). A morphism of pro-sets $S\to 2$ is determined by a partition of some $S_i = S_i^\bot \sqcup S_i^\top$ (modulo a suitable equivalence relation as we change $i$). But a morphism of locales $\lim S_i \to 2$ consists of two ideals $A^\bot$ and $A^\top$ which are disjoint and whose union generates the improper ideal (which consists of all pairs $(i,x)$). A pro-set morphism $S\to 2$ induces a locale map $\lim S_i \to 2$ where $A^\bot$ and $A^\top$ are the ideals generated by $S_i^\bot$ and $S_i^\top$, but in general not every morphism $\lim S_i \to 2$ is induced by one $S\to 2$.
Specifically, consider the following pro-set, which is indexed on the natural numbers with the inverse ordering:
We define $S_i = (\mathbb{N} \times \{a,b\}) / {\sim_i}$, where $\sim_i$ is the equivalence relation generated by $(k,a) \sim_i (k,b)$ for $k \ge i$. The transition maps are the obvious projections, which are surjective. Define
Then $A^\bot \cup A^\top$ generates the improper ideal, since for any $i$ we have $\{ (i+1, (i,a)), (i+1,(i,b)) \} \subset A^\bot \cup A^\top$, which covers $(i,(i,?))$, which covers $(i-1,(i,?))$, and so on down to $(0,(i,?))$. However, no $S_i$ can be partitioned as $S_i = S_i^\bot \sqcup S_i^\top$ in such a way that $S_i^\bot$ generates $A^\bot$ and $S_i^\top$ generates $A^\top$. Thus, this defines a locale map $\lim S_i \to 2$ which does not arise from a pro-set morphism $S\to 2$.