The questions still says:

[font="Courier New"]You are testing an application role in SQL Server 2005. You connect with SSMS, invoke the role, and then execute various queries and stored procedures. What can you do to return to your normal account permissions?[/font]

If the questions said:

[font="Courier New"]You are testing an application role in SQL Server 2005. You connect with SSMS, invoke the role with the cookie option, and then execute various queries and stored procedures. What can you do to return to your normal account permissions?[/font]

then the answer would have been correct. As database administrators, we deal with many different application configurations. Saying that you can revert using sp_unsetapprole without first setting the cookie is like saying you can code against the CLR without first setting the CLR to enabled. You need to follow the proper steps for everything to work.

If I were to tell someone that they can just run sp_setapprole and the run sp_unsetapprole to revert to their original context, I would have a very upset developer when he could not revert.