The variable _error_ when created by some error in a data step is a temporary variable and not available after the end of the data step.
The code sets the macro variable so that if you desire you can test the value of &EFIERR and do something with the information such as run different code or write a specific (additional likely) message to the log.
A value of 1 would tell you that some unspecied error occured though most of the ones in a data step that only reads data would typically generate a warning or error in the log about invalid data.
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