I have 14k white gold vintage wedding set that has R with diamond around it. What does this mean?

It all depends on how vintage it is. Has it been authenticated in any way?

White gold was used only after the first world war because many precious metals were being used in ammunition. It is a combination of gold and nickel; therefore diluting it for the war effort and still making it look pretty with a K for the carat gold symbol.

It is just a design, possibly made to suit the wearer as the initial would signify a name.