I'm connected to a MariaDB database, and the Set Active option does not show when right-clicking a "schema" (often confusingly referred to as a "database" like the "database server" is called a "database"), however, selecting "Set as default" will set it as active in an overkill way.

However, selecting "SQL Editor" then one of the options there will give you the "schema" context, as if you had selected to use that database to run queries (without needing to specify the containing schema/database).

Sorry for all the terminology ambiguity, it was not my creation.