Function `set_config` doesn't work in with query?

For instance:
```
with t as (
select set_config('blah', '1', false)
)
select current_setting('blah');
select current_setting('blah');
```

Execute queries above gets these error messages:
psql:test-query-dump.sql:4: ERROR: unrecognized configuration parameter "blah"
psql:test-query-dump.sql:5: ERROR: unrecognized configuration parameter "blah"

Thank you for any responses.