Yes. PROC GLM don't offer such diagnose.
An workaround is using PROC GLMSELECT to get DESIGN MATRIX and feed it into PROC REG and do such thing:
proc glmselect data=TennisCamp outdesign=designCamp;
class forehandCoach backhandCoach volleyCoach gender;
model improvement = coach practice tLessons tPlay age gender inRating nPastCamps/selection=none;
run;
ods graphics on;
proc reg data=designCamp;
model improvement = &_GLSMOD;
quit;
ods graphics off;