According to the docs you can set ClientCertEnabled through the ARMClient Tool. You can nowadays also use https://resources.azure.com to do so or even set it as property in ARM Templates.
Is there any possibility to set it directly through Azure PowerShell? I found that retrieving an app through Get-AzureRmWebApp
also states if ClientCertificates are enabled or not.
Yes, you can set it on the underlying resource. Sample:
$Resource = Get-AzureRmResource -ResourceGroupName $resourceGroupName -ResourceType Microsoft.Web/sites -ResourceName $resourceName -ApiVersion 2016-08-01
$Resource.Properties.clientCertEnabled = "True"
$Resource | Set-AzureRmResource -Force
HTH