It is true that it is common for confined peahens not to set, while free range peahens pretty much all set every year. This also goes for hens that never set in a pen.. once free range most of them will set their first spring on free range and every year thereafter, if they remain free range.
I had a Spalding hen that never tried to set in the 8 years she was in a pen. Last year, she managed to escape while my dad was doing feed/water routine for me while I was away on vacation. She hung around so I decided to let her stay free range. Sure enough, this spring she made and sat on a nest..
Anyways, some of my(confined) hens DO set but so far they like to set only if if the pen is very large and there was a fairly secluded nest spot. Put up lean- tos (piece of plywood or ?? and lean it against a wall), put in old tires, also put up elevated nest boxes.. put soil and nesting material in them. Make sure they are either mostly or always shaded, so the eggs don't get baked in direct sun or the hen has to suffer being hot while sitting.
If the pen is small, that could be part of the problem so give more room if the pen is less than say, 10 x 20 for 3 or more birds.
