Please note that yout lifecycle must be configured with valid promote targets if you try to use Promotion Request. Here's an example from the OOTB Basic lifecycle template. From the In Work state you see that it is possible to promote to all target states. Each of the states in the template needs to have valid promote states, or you will not be able to use Promotion Request.

The same goes for Set State. In this example it is not possible to use Set State from In Work to any of the other states. For detailed explanation about "Set State" see https://support.ptc.com/help/windchill/r12.1.2.0/en/Windchill_Help_Center/cadx/CADxEditMenuObjSetState.html#
Bear in mind that to be able to use Set State you also need grant the required permissions using Policy Administration.
I also want to point you to this help article for some more background reading: https://support.ptc.com/help/windchill/r12.1.2.0/en/index.html#page/Windchill_Help_Center/WCAdminOview/WCAdminOviewSetStateVsPromote.html