You probably want 'SET TEMPORARY OPTION'... since SET OPTION is actually an operation that gets logged.

Setting the option is different from providing a validation callback. The callback is code provided at the client that allows the application to permit or reject client file transfers.

The point is you need to register the callback (which seems not to be possible with SQL Anywhere's Python support) when the client read is initiated by the server, see the doc topic cited by John:

For data security, the server tracks the origin of statements requesting a file transfer. The server determines if the statement was received directly from the client application. When initiating the transfer of data from the client, the server sends the information about the origin of the statement to the client software. On its part, the Embedded SQL client library allows unconditional transfer of data only if the data transfer is being requested due to the execution of a statement sent directly by the client application. Otherwise, the application must have registered the validation callback described above, in the absence of which the transfer is denied and the statement fails with an error. If the client statement invokes a stored procedure already existing in the database, then the execution of the stored procedure itself is considered not to have been for a client initiated statement. However, if the client application explicitly creates a temporary stored procedure then the execution of the stored procedure results in the server treating the procedure as having been client initiated. Similarly, if the client application executes a batch statement, then the execution of the batch statement is considered as being done directly by the client application.

In other words: A simple UNLOAD statement (like the sample shown in your question) issued by the client should not require a registered callback and as such should work from Python. At least that's my understanding.