Since ##\{x\in A\,|\,\varphi(x)\}## is to be read "the set of all ##x\in A## such that ##\varphi(x)##", I see your point, but no one writes a ##\forall## there. As micromass said, this is just a notational convention, so it doesn't require any deeper analysis.
However, if we denote this set by B, then we have
$$\forall x \left(x\in B \Leftrightarrow \left(x\in A\ \land\ \varphi(x)\right)\right),$$ where ##\Leftrightarrow## is read as "if and only if", and ##\land## is read as "and". (These logical symbols are defined by truth tables that I assume are included in the logic section of the Book of Proof). This "sentence" can be thought of as the definition of the notation ##B=\{x\in A\,|\,\varphi(x)\}##.
The symbol ##\leftrightarrow## is often used instead of ##\Leftrightarrow##.
Edit: I actually messed up that sentence in the language of set theory when I posted this, but I have changed it, so it should be OK now.