WORKAROUND 1:
If you have Toad DB2 Xpert edition, you use the SQL Optimizer.
Select the SET statement and the SELECT statement and invoke the SQL optimizer (or run SQL Optimizer and put sql script into it).
Click the "show plan" button in SQL Optimizer.
Execution plan taking into account the "current query optimization" will be shown with no errors.
WORKAROUND 2:
If you do not have SQL Optimizer, for each statement in the Toad SQL Editor a separate ‘explain plan n’ tab will open within the ‘Explain Plan’ tab - see the example in the work_around.docx. An error in ‘Explain Plan 1’ tab is expected because "set ..." is not explainable statement. In the ‘Explain Plan 2’ tab there is an explain plan for the select statement.
STATUS:
Enhancement Request TDB-2654 has been implemented in Toad for DB2 version 6.5. The latest version can be downloaded
here.