See my original reply:
There is/should be/could be a file called LOGIN.COM in your home directory, consisting of DCL commands that are executed every time you log on - including via FTP.
Put the $SET FILE... command in that file, and logon. Hopefully the command will then be activated. As I said before you only have to do this once, so you can then revert to your original LOGIN.COM
What error did "quote rmd test.dir;" return?
MikeR