Batch file variable inside if block

Although I do not exactly know what you are trying to accomplish, I decided to provide a modified script in which some issues are fixed. As soon as you edit your question and clarify it I will update my answer accordingly.

So here is the updated code:

@echo off
setlocal EnableDelayedExpansion
for /F "skip=1 delims=" %%L in ('
    2^> nul wmic LogicalDisk ^
        WHERE ^(DriveType^=2^) ^
        GET Caption^,Description
') do (
    for /F "tokens=1,*" %%I in ("%%L") do (
        set file=myfile.xml
        echo %%I\!file!
    )
)
endlocal
pause

• skipped header line from wmic by the skip option of for /F;
• implemented a WHERE clause to the wmic command line to filter out DriveType and so to not need the if condition;
• put token Description to the last position by removing DriveType, so for /F token string * can be used, as the property value may contain delimiters (spaces) on its own (although %%J is not used in the loop then);
• added a second for /F loop to remove artefacts from conversion of Unicode output of wmic by first for /F;
• set variable file to a constant value myfile.xml just to demonstrate delayed expansion (see also setlocal command); of course file could be set in advance outside of the loop here;
• removed the pipe stuff SET file= | dir %%i /b as I have no clue what this is intended to do;

Update

After the question has been revised and clarified I can provide a solution for the requested task:

@echo off
for /F "skip=1 delims=" %%L in ('
    2^> nul wmic LogicalDisk WHERE ^(DriveType^=2^) GET Caption
') do (
    for /F "tokens=1" %%I in ("%%L") do (
        for /F "eol=| delims=" %%F in ('dir /B "%%I\"') do (
            set "FILE=%%I\%%F"
        )
        setlocal EnableDelayedExpansion
        netsh wlan add profile filename="!FILE!" user=all
        endlocal
    )
)
pause

• removed property Description from wmic command line as it is not used anyway;
• inserted another for /F loop to capture the output of dir /B;
• the built file path in FILE is passed over to netsh wlan add profile using delayed expansion, because this is required when writing and reading a variable in the same block of code; normal expansion would return the value present at the time the entire block is parsed by the command interpreter; I enabled delayed expansion inside of the loop structure in order to avoid loss of exclamation marks in the file name, because while reading for variables like %%F, delayed expansion need to be disabled to not lose such characters;
• actually the interim variable FILE and so delayed expansion would not be necessary if you could guarantee that there is one file available on each drive; if this is the case, remove the setlocal and endlocal command lines, move the netsh command line into the inner-most for /F %%F loop, replace !FILE! by %%I\%%F and remove the set command line;