What he plans is probably to set up a vehicle with Riders in a Building for added protection at start and/or for saving some MP to bypass that Building would he set up anywhere else.
As the rule is written, he is neither entering nor moving through a hex. Thus I would tend to allow it.
EDIT:
I revise my opinion stated above after reading the argument of
@Juzek below:
A2.9 "a unit...may not set up in a hex it cannot enter in the normal course of play."
D6.21 "Riders are not allowed when moving through a woods ... building..."
As Riders would not be able to enter a building in the normal course of play, the conclusion is indeed that they may not set up as Riders in a building.
von Marwitz