We would like to thank the reviewers for their constructive feedbacks and we will correct the typos raised and include

Full (exact) conformal set vs. split or cross-validated conformal set Non-connectedness of the conformal prediction set. This was initially suggested in [18, Remark 1]. We follow the actual practice in the literature [14, Remark 5]. We did not observe violations. We will also summarize the proposed algorithm in a direct pseudo-code.