Borderline bug. I think it should say that NOT_AN_OPTION is not a valid ddl option. Complaining about the value implies that is is a valid option. But not a huge problem, and I'd definitely accept being overruled as “Not A Bug” on this one.
SQL> set ddl not_an_option not_a_value
NOT_A_VALUE is not a valid value for ddl parameter NOT_AN_OPTION