Many units, e.g. Heavy artillery or bombers in cities, and also armour (and I think infantry) all have set road loc as an available order even though this cannot be actioned.

Am I correct in thinking only engineering units should be able to set road locs?

No this is correct, in that the command is also used to DESTROY existing roads. But only EN/SB can use it to build.

Ah, so if there was a road then HA could travel along it?