As aki88 noted the topic starter's JCL will not run. Ever. Period. Full stop. End of story.
I prepared and ran this JCL, with a proper JOB statement, of course. The SETCC program just returns with a return code equal to the contents of the PARM. It's a useful tool to check things like this.
//JOBLIB DD DISP=(SHR,PASS),DSN=&SYSUID..LOAD
//A EXEC PGM=SETCC,PARM=4,COND=(0,NE)
//B EXEC PGM=SETCC,PARM=0,COND=(4,NE)
The first step ran, of course, and finished, as expected, with RC = 4.
IEF142I XXXXXXX A - STEP WAS EXECUTED - COND CODE 0004
The second step also ran, and finished with RC = 0.
IEF142I XXXXXXX B - STEP WAS EXECUTED - COND CODE 0000