I ended up finding the answer.
I'm going to prove the greedy algorithm yields the correct answer.
Count the number of membership relationships. There are at least $n\cdot k$, so one set must contain more than $\frac{n\cdot k}m$ elements.
After one step of greedy algorithm, there are less than $n_1 = n - \frac{n\cdot k}m = n \left(1 - \frac km\right)$ elements left.
At the second step we remove at least $n_1(1-\frac{k}{m-1})$.
We are guaranteed to terminate when $n~\Pi_{i=0}^j \left( 1-\frac{k}{m-i}\right) < 1$, ie $\log(n) + \sum_{i=0}^j \log\left(1-\frac{k}{m-i}\right) < 0$.
Since $\log(1-x) < -x$, $\log(n) < \sum_{i=0}^j \frac{k}{m-i}$ is sufficient.
We are looking for the smallest $j$ such that:
$ m-j < \exp(\log(m) - \frac{\log(n)}{k}) = \frac{m}{n^\frac1k}$
$\Longleftrightarrow j > m\left(1-\frac{1}{n^\frac1k}\right) = m\left(1-\frac{1}{\exp(\frac{log(n)}{k}}\right)$
Now, $1-\frac{1}{\exp(x)} ≤ x$ by convexity, hence $j > \frac{m \log(n)}{k}$ is sufficient.