For DLT pipelines, please use the "Advanced" panel, on the pipeline menu, to set your variables:

That will set up a new configuration value that can be referenced inside your code as a variable:

CREATE OR REFRESH LIVE TABLE filtered
AS SELECT * FROM my_table
WHERE created_at > ${startDate};

Would this solve your issue? Also, can you please share the documentation from DLT that states that the SET command can be used to create variables?

Alessandro