Oh no! "set" is for command line, so you used it in bat-file correctly.
But AfterConnect.sql & Login.sql is for sql-scripts like that:
SQL Query
alter session set nls_date_format = "DD.MM.YYYY";
alter session set nls_timestamp_format = "DD.MM.YYYY HH24.MI.SSXFF";
alter session set nls_timestamp_tz_format = "DD.MM.YYYY HH24.MI.SSXFF TZR";
alter session set nls_numeric_characters = ". ";
My fault! I thought, that we can change charset during oracle session, but i've mistaken.
It seems, the only way is yours - to use a custom bat file to run PLSQLdev.