If someone still needs it (like I do).
The specified role_name must be a role that the current session user is a member of. https://www.postgresql.org/docs/10/sql-set-role.html
We need to make the current session user a member of the role:
create role myrole;
set role myrole;
grant myrole to myuser;
set role myrole;
produces:
Role ROLE created.
Error starting at line : 4 in command -
set role myrole
Error report -
ERROR: permission denied to set role "myrole"
Grant succeeded.
Role SET succeeded.