[SPARK-21574][SQL] Point out user to set hive config before SparkSession is initialized

## What changes were proposed in this pull request?
Since Spark 2.0.0, SET hive config commands do not pass the values to HiveClient, this PR point out user to set hive config before SparkSession is initialized when they try to set hive config.

## How was this patch tested?
manual tests

<img width="1637" alt="spark-set" src="https://user-images.githubusercontent.com/5399861/29001141-03f943ee-7ab3-11e7-8584-ba5a5e81f6ad.png">

Author: Yuming Wang <wgyumg@gmail.com>

Closes #18769 from wangyum/SPARK-21574.

sql/core/src/main/scala/org/apache/spark/sql/execution/command/SetCommand.scala

@@ -21,6 +21,7 @@ import org.apache.spark.internal.Logging
 import org.apache.spark.sql.{Row, SparkSession}
 import org.apache.spark.sql.catalyst.expressions.Attribute
 import org.apache.spark.sql.internal.SQLConf
+import org.apache.spark.sql.internal.StaticSQLConf.CATALOG_IMPLEMENTATION
 import org.apache.spark.sql.types.{StringType, StructField, StructType}
 
 
@@ -87,6 +88,14 @@ case class SetCommand(kv: Option[(String, Option[String])]) extends RunnableComm
     // Configures a single property.
     case Some((key, Some(value))) =>
       val runFunc = (sparkSession: SparkSession) => {
+        if (sparkSession.conf.get(CATALOG_IMPLEMENTATION.key).equals("hive") &&
+            key.startsWith("hive.")) {
+          logWarning(s"'SET $key=$value' might not work, since Spark doesn't support changing " +
+            "the Hive config dynamically. Please passing the Hive-specific config by adding the " +
+            s"prefix spark.hadoop (e.g., spark.hadoop.$key) when starting a Spark application. " +
+            "For details, see the link: https://spark.apache.org/docs/latest/configuration.html#" +
+            "dynamically-loading-spark-properties.")
+        }
         sparkSession.conf.set(key, value)
         Seq(Row(key, value))
       }