A set can still be complete without the 1895, since it was proof only.
Trying to assemble a solid grade set is tricky. A couple dates are rarely found circulated (1885-CC, 1898-O, 1903-O come to mind) and others are prohibitive (or at least very expensive) condition rarities above certain mid-grades (1879-CC, 1884-S, 1892-S, 1895-S, 1903-S, and 1904-S for example).
In addition to grade, strike quality is important. There are many technical UNCs that are poorly struck, and many well struck sliders have better eye appeal.
There are many different ways to approach the collection. Some pick one mint and work start to finish on that mint's coins, before moving on the the next mint. Others tackle one year at a time, building mini-sets of all mints.
I'd urge you to do a couple things before diving in.
Buy the book(s) before buying the coins. Learn the strike characteristics of each year and get a feel for what actually exists in the market. Remember, mintage figures mean very little with some dates, because of the Pittman Act and the great silver rush of the 1950s-1960s (and the Redfield Hoard).
Learn to grade the coins on your own. Just because a TPG
has an opinion doesn't mean that their opinion is correct. Even TPGs whiff every now and then, and grading standards have
changed over time.
Learn the things that detract from eye appeal. Even if the technical grade is correct, if the coin doesn't appeal to you, don't buy it.
Avoid the "gotta have it" syndrome. There are literally millions of Morgans out there. There will always be another. Be patient.
If you have doubts about whether to buy a particular coin, walk away. You won't regret walking away, and having to look at a coin that you have grown to hate takes the fun out of the hobby.