You have parentheses where you should instead use curly braces. Here is correct syntax:
con Mycon9: sum {i in OBS: Campaign_Line_Item[i] in
{'Walmart DSP|Display|Cross Device|Standard Audience|In Market Christmas|47490|7974163'
,'Walmart DSP|Display|Cross Device|Custom Audience|Heavy Spenders Home Decor|47490|8003807'
,'Walmart DSP|Display|Cross Device|Propensity Audience|Holiday Decor|47490|8005360'
,'Walmart DSP|Display|Cross Device|Propensity Audience|Ornaments|47490|7974160'
,'Walmart DSP|Display|Cross Device|Custom Audience|Nov&DecShoppers|47490|7974178'
,'Walmart|Display|Cross Device|Contextual Targeting|Holiday Decor|CY23|47490|7974064'}} Optimized_Budget[i] <= 140000;
I recommend instead defining the set separately to make the code easier for human consumption:
set CAMPAIGNS = {'Walmart DSP|Display|Cross Device|Standard Audience|In Market Christmas|47490|7974163'
,'Walmart DSP|Display|Cross Device|Custom Audience|Heavy Spenders Home Decor|47490|8003807'
,'Walmart DSP|Display|Cross Device|Propensity Audience|Holiday Decor|47490|8005360'
,'Walmart DSP|Display|Cross Device|Propensity Audience|Ornaments|47490|7974160'
,'Walmart DSP|Display|Cross Device|Custom Audience|Nov&DecShoppers|47490|7974178'
,'Walmart|Display|Cross Device|Contextual Targeting|Holiday Decor|CY23|47490|7974064'};
con Mycon9: sum {i in OBS: Campaign_Line_Item[i] in CAMPAIGNS} Optimized_Budget[i] <= 140000;
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