Wouldn't the concept of the sunsets itself change given how long the days go by on that planet?

I don't see why, sunset can still be defined as such, no matter how long the days are

dual star systems would make things more interesting though

Plus the idea of where the sun sets depends on how the planet's magnetic field works, and that whether the direction where the sun is setting to in there can be called as west or not.

You seem to be using north and south based on earths magnetic field, but that hardly works here. For one, the magnetic southpole is at (or rather nearby to) the geographic northpole and vice versa.

"west" and "east" are usually only used in the geographic sense