I just retried it. And the problem apparently seems to be the semi-colon after the SET command.
When I execute it in Workbench as following it works like a charm:
CREATE PROCEDURE stp_TestFM
AS SET NOCOUNT ON
PRINT 'Ich bin ein Test: abc'
RAISERROR (N'Ich bin eine Warnung', 9, 1)
In MS SQL Server Management Studio however, it doesn't makes a difference, if you a semi-colon in between; that means the Statement Matthias posted works in SSMS also fine.
Is there maybe any line / statement delimiter setting to be adjusted?
Thanks in advance and beste regards,