Is it two sets if each guy uses his own deck?
I might say f*ck it and DM Scotty the components I need...
You *may* need two sets of the scenery pieces IF the two players pull cards from the deck that require the same scenery pieces for their objectives/red herrings. It may be that neither player pulls a card that needs any scenery to be added.
The more players, the more likely this will happen, and my need three or so sets.
Most of the scenery pieces are readily available or can be knocked up by a competent model maker.
It's just nice to have the official ones, and yes I have them (two sets), plus multiple items from other sources.
All I need now is for nurse to undo the arms of my special jacket...