It works fine here.
I'm running DB SP8 but for this case Studio is the one in charge to parse and send one by one, I'm ran your script through SAP HANA Studio revision 94 without problems. See log.
Download a recent version and it can solve your issue.
Best regards, Fernando Da Rós
Statement 'drop procedure SP_Z1'
successfully executed in 276 ms 926 µs (server processing time: 20 ms 459 µs) - Rows Affected: 0
Statement 'create procedure SP_Z1 as begin declare x int; declare i int; FOR i IN 1..10 DO x := :i; END FOR; ...'
successfully executed in 766 ms 976 µs (server processing time: 37 ms 427 µs) - Rows Affected: 0
Statement 'drop procedure SP_Z2'
successfully executed in 309 ms 780 µs (server processing time: 20 ms 310 µs) - Rows Affected: 0
Statement 'create procedure SP_Z2 as begin declare y int; end;'
successfully executed in 275 ms 190 µs (server processing time: 26 ms 250 µs) - Rows Affected: 0
Duration of 4 statements: 1.628 seconds