Windows10 PRO & PowerShell v5.1
I used Enable-WindowsOptionalFeatures cmdlet to enable the Active Directory Lightweight Directory Services.
When I try to use Set-ADDomain, it doesn't work, because Active Directory Web Services aren't running. I know I could use the ADLDS Setup Wizard to start this service. Does any cmdlet can achieve that ？
When you have enabled the windows feature Active Directory Lightweight Directory Services then no AD LDS instance has been added yet. You can add an AD LDS instance by running %systemroot%\ADAM\adaminstall, which is possible to run in silent mode as well if you need to script it.
See https://technet.microsoft.com/en-us/library/cc816778(v=ws.10).aspx and https://technet.microsoft.com/en-us/library/cc816774(v=ws.10).aspx for more information on how to add an AD LDS instance.
The command Set-ADDomain that you mention is to be used with an AD DS domain, which is not the same thing as AD LDS.