Here is the true reason they want you to set your own goals on top of what they want you to do: so that you will do extra work for the company. If you don't set the goals high enough, they will blame you for not self motivated enough. If you set the goals too high, and cannot follow through, they will hold you to it. If you set good goals and accomplish them, your company benefits from you using your personal time to accomplish your goals. In all cases, you lose and your company wins.
They're not your REAL goals. That's why it sucks. You're expected to read your boss's mind and determine what HE wants you to accomplish. And then pretend that it was your idea to live up to his expectations (expectations he couldn't be bothered to clarify before failing you on a performance review because you didn't meet them).