In a NAS message Protocol Configuration Options (PCO) can be carried by many different messages as follows.
PDN Connectivity Request
ActivateDefaultEPSBearerContextRequest
ActivateDefaultEPSBearerContextAccept
Data Structure of PCO is also very flexible (gives lot of difficulties in message decoding process). The purpose of the Protocol Configuration Options (PCO) is to provide additional optional information about the destination network that the UE is connecting to. e.g. when a UE connects to the Internet it will be given an IP address and it will be given a PCO that includes the default gateway IP address, the DNS server address, etc. All of these additional type of information are given in the PCO and upto the network to support or not support.
Read more at: http://tech.queryhome.com/37946/lte-use-of-protocol-configuration-options-pco