What came before the big bang? And why does it seem that all matter came from one location in space? Seems to break the second law of Thermodynamics even. We don't know. Will you put your faith in the idea that the system of science CAN EVEN know eventually?
Can set theory prove everything? We know that it cannot prove a number of things, thanks Turing. Those things end up being pretty important to proving everything evidently. Science rests on mathematics.
Why should you believe in a particular philosopher's revealed truth? Well it seems consistent with the rules of logic. Seeing as set theory is the most concrete, repeatable form of logic we've ever come up with, see the above for why thats maybe not the best stance to put your faith in.
Maybe believe in nothing? But you will believe in something, even by accident. The nature of human heart is to make idols.
All require leaps of faith at the bottom of them. Either in systems or individuals.