Deploying different settings can be tricky, as not all Settings appear under the Settings metadata type. For instance, you won't find Custom Settings under Settings; instead, Salesforce classes these as Custom objects.
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In my Org, I created Test Custom Settings and within these settings, I created three fields for this setting.

These Custom Settings will appear in the Gearset comparison results table as Custom objects and the fields I created are subcomponents.
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To deploy them, make sure Custom object is included in your Gearset metadata filter.
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Within Salesforce, there is another action I can take with my Custom Setting and that is to Manage. This adds records to the Custom Setting to use the values in these records for Apex code or validation rules.

But these records are not considered metadata and so do not appear in the metadata comparison, instead, they are considered data records and can be migrated using our data loader tool under the Custom Setting custom object:
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We have a support article that goes into this in more detail which we suggest you read if you are looking to deploy custom settings data with Gearset.