This happens from time to time. Sometimes, if the infusion set is disturbed in its place by bumping it or rubbing it on something, it can cause a bruise, much as a need will cause a bruise when disturbed while injecting. It will go away. It would be good to stay away from that area with your infusion sets until it does. If, when the infusion set is removed, there is a slight bleeding from the canula hole, I usually put a dab of Neosporin on the site to prevent infection and speed heeling.
Cool Pink infusion sets, not the boring gray ones I use. Your pump looks good on you!