In reply to Canming Wang.

PLS-regression coefficients do not have confidence intervals in the traditional statistical sense
(Wold, et al. (2001) "PLS-regression: a basic tool of chemometrics," p. 114), so PROC PLS does not have an option for CLB.

For PCR, you can get the CLB by writing the PCs to a data set. Then use them as explanatory variables in PROC REG. The CLB option on the MODEL stmt will give the confidence limits for the coefficients of the PCs.