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If a file is named in a DD statement in the CICS JCL then it is statically allocated to that CICS region. If there is no DD statement then CICS will dynamically allocate the file when it is opened and will deallocate it when it is closed. There is no specific SET FILE command to allocate a file and also no need to provide a facility to explicitly deallocate a file.
If dynamic allocation and deallocation of the file is required then it should be used via a FILE definition without a corresponding DD statement in the CICS JCL.The file will then be deallocated at close time and available for use by other processes.