Serena has had 2 bagel sets in her career. One was in her second professional match ever in 1997, losing to Alexia Dechaume Balleret 64 60. The other was a 3 set loss to MJ Fernandez in round 3 of the 99 French Open, when Mary Joe bageled Serena in the 3rd set.
Venus has had a few more. Her first one came against Chanda Rubin in 1997 at Amelia Island, when she lost 6-4 6-0. Then she got bageled in the first set of the US Open finals by Hingis in 1997, followed by a 1st set bagel against Davenport in Philly in 1997. Hingis got a bagel in 1998 as as did Mary Pierce. Venus also got a 2nd bagel against Davenport in the infamous bead incident. Her last one came in the 1999 San Diego finals, which Hingis won 64 60. It's been a long time since Martina had dominance over Venus lol