SQL> create procedure set_role1
   2   is
   3   begin
   4     dbms_session.set_role('CONNECT');
   5   end;
   6   /

Procedure created.

SQL> exec set_role1;
BEGIN set_role1; END;

*
ERROR at line  1 :
ORA- 06565 : cannot execute SET ROLE from within stored procedure
ORA- 06512 : at  "SYS.DBMS_SESSION" , line  120 
ORA- 06512 : at  "HR.SET_ROLE1" , line  4 
ORA- 06512 : at line  1 


SQL> create or replace procedure set_role1
   2   authid current_user
   3   is
   4   begin
   5     dbms_session.set_role('CONNECT');
   6   end;
   7   /

Procedure created.

SQL> exec set_role1;

PL/SQL procedure successfully completed.