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I would fold:

(1) preflop,

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OP already explained that he thought BB was coming along and would increase his implied odds if he hit his set.

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(2) to MP2's flop bet

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It's very likely that this flop missed MP2 completely.

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MP2's 3-bet

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No arguments here. Though calling and folding the turn UI is not a huge mistake.

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to MP2's turn bet.

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Hero now has 6 outs and getting odds to call.