Not sure what flavor of SQL you are used to using but that syntax is not supported in the SQL standard that PROC SQL uses.
Check out the documentation: https://documentation.sas.com/?docsetId=sqlproc&docsetTarget=p0ci36zwxhm1xdn1a943yeczfalk.htm&docsetVersion=9.4&locale=en
PROC SQL;
update TEST_MAIN
set var_1= (select calc1 from CR_CALC)
, var_2 = (select calc2 from CR_CALC)
where FIELD= 'CR'
;
RUN;
Make sure that the subqueries return one and only one value.
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