sed may not be necessary here.
$ awk -F'\t' '!$1{ $1="na" }1' your_file.txt | nl -w 1 -s":" -d$'\n'
If you wanted to use sed, following should have been enough:
$ nl -w 1 -s":" -d$'\n' test.txt | sed 's/:\s\+/:na\t/'
1:na 1:924024
2:na 1:924310
3:SAMD11 1:930353
4:SAMD11 1:930939
5:NOC2L 1:944858
6:NOC2L 1:946247
7:KLHL17 1:960891
8:KLHL17 1:961945
Thank you! I However, I struggle to make setID file, where each gene has different number, not each row:
SAMD11 is in set 3; NOC2L set 4, etc, etc.