As per the title, the FO does not set the altitude received from ATC. I am using PRO-ATC/X. What I usually do after opening fs2crew is running the pre flight events as per the manual and while the FO is out on the walk around I set up the FMC and ask ATC for clearance and set the initial altitude. However after takeoff each additional altitude change that  should be handled by the FO is not. I have to set it manually. Same goes for descent. What must be done for the FO to set the altitude requested be ATC automatically?

thanks!

The FS2Crew FO does not interface with Pro-ATC.

You'd need to set any ATC instructions manually.

Which is no big deal, because when the autopilot is on, which is usually would be, the PF is responsible for the autopilot panel anyway.