SET's parameter is a WORD! that has no binding, or some binding, but... that word is all it has in its hand.
If you are speaking of an implicit environment parameter which would be captured from the callsite of the SET--it would be unlikely that was the right place to be doing the emergence of the new variable.
Think of the implementation of something like PARSE--which lives in its own module. It's traversing some code that you gave it:
Rebol [
Title: "My Module"
Type: module
]
example: func [<local> i] [
parse [a 10] [w: word! i: integer!]
]
example
The block of rules that PARSE is receiving is thus connected with the frame of EXAMPLE which points next in the chain to the module environment for "My Module".
But the SET-WORD! combinator--which is implemented in the parse module--is what is ultimately running the code that sets the variable. It has logic which says to run and process the next parse rule, and if it matches then SET the word to the product of that rule.
PARSE has in its hand the input rule block, and the w: set-word! that it plucked out of that block. It doesn't know offhand that the w: word wasn't bound to something (e.g. if it asked about i it would get a binding).
The attached state is to allow the in rules ('w:) to give back a product that's able to permit the SET to appropriately emerge the variable into My Module, not PARSE's module.