Does Presto have the equivalent of Hive's SET command

Not yet. Presto only have set session command for setting some presto properties during current session. For example SET SESSION distributed_join=true;

But presto can not set a variable and use it in following sql like hive does.

You can do this

WITH VARIABLES AS (SELECT VALUE AS VAR1, VALUE AS VAR2)
SELECT * 
FROM TABLE CROSS JOIN VARIABLES 
WHERE COLUMN = VAR1