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.