Sachin, 

I am struggling with a similar problem. I would want to set these session variables on EVERY Session, regardless of what client the queries are coming from, and I can't do it through changing the client's behavior e.g. connecting and issuing separate commands to initialize these before starting their "real" queries. I need to do this to set variables for use in Unity Catalog row filters and column mask UDFs. If you made any progress on this, I'd appreciate hearing about it...