Here are two ways (note the curly braces instead of parentheses):
Con Cns_Ex{c in Components:c in {"R2", "R5"}}:Sum{p in Products} X
*Qty[p,c]<=8;
Con Cns_Ex{c in Components inter {"R2", "R5"}}:Sum{p in Products} X
*Qty[p,c]<=8;
If you know that "R2" and "R5" are both in Components, you can make it even simpler:
Con Cns_Ex{c in {"R2", "R5"}}:Sum{p in Products} X
*Qty[p,c]<=8;