Escaping Chaos in Random Multiplicative Functions

Let $f(n)$ be a Steinhaus random multiplicative function. Let $A\subset [1, N]$ be a finite set of integers. We show that $$\frac{1}{\sqrt{|A|}} \sum_{n\in A} f(n) \xrightarrow[]{d} \mathcal{CN}(0,1)$$ forces that $|A|=o(N)$. We prove that the $o(1)$ density is sharp by showing that for most sets $A$, and thus confirm the existence, with density $\rho$ such that $(1-\rho)^{-1} =o((\log \log N)^{1/2})$, we have $$\frac{1}{\sqrt{(1-\rho) |A|}} \sum_{n\in A} f(n) \xrightarrow{d} \mathcal{CN}(0,1).$$ The extra factor $\sqrt{1-\rho}$ makes a difference as long as the density $\rho>0$.