I tried this with ml2/OVN on master and it seems to be working:

vagrant@devstack:~
$ openstack subnet set --gateway none subnetbug
[14:30:28]
vagrant@devstack:~
$ openstack subnet show subnetbug
+----------------------+-----------------------------------------------------------------------------------------------------------------------------------------------------------------+
| Field                | Value                                                                                                                                                           |
+----------------------+-----------------------------------------------------------------------------------------------------------------------------------------------------------------+
| allocation_pools     | 29::1-29::ffff:ffff:ffff:ffff                                                                                                                                   |
| cidr                 | 29::/64                                                                                                                                                         |
| created_at           | 2020-06-10T14:29:06Z                                                                                                                                            |
| description          |                                                                                                                                                                 |
| dns_nameservers      |                                                                                                                                                                 |
| dns_publish_fixed_ip | False                                                                                                                                                           |
| enable_dhcp          | True                                                                                                                                                            |
| gateway_ip           | None                                                                                                                                                            |
| host_routes          |                                                                                                                                                                 |
| id                   | 330cc9ce-7bdd-4b3c-8508-27c376dae666                                                                                                                            |
| ip_version           | 6                                                                                                                                                               |
| ipv6_address_mode    | None                                                                                                                                                            |
| ipv6_ra_mode         | None                                                                                                                                                            |
| location             | cloud='', project.domain_id='default', project.domain_name=, project.id='1e198452c7ed473bb565873f29811669', project.name='demo', region_name='RegionOne', zone= |
| name                 | subnetbug                                                                                                                                                       |
| network_id           | 964b4cc3-de3b-4602-b209-75632d471972                                                                                                                            |
| prefix_length        | None                                                                                                                                                            |
| project_id           | 1e198452c7ed473bb565873f29811669                                                                                                                                |
| revision_number      | 1                                                                                                                                                               |
| segment_id           | None                                                                                                                                                            |
| service_types        |                                                                                                                                                                 |
| subnetpool_id        | None                                                                                                                                                            |
| tags                 |                                                                                                                                                                 |
| updated_at           | 2020-06-10T14:30:28Z                                                                                                                                            |
+----------------------+-----------------------------------------------------------------------------------------------------------------------------------------------------------------+

Can you please attach neutron server logs and the exact command that failed for you?