The config values aren't checked

```
> set datafusion.explain.format = indnet;
0 row(s) fetched.
Elapsed 0.002 seconds.

> set datafusion.explain.format = indent;
0 row(s) fetched.
Elapsed 0.002 seconds.
```

The `indnet` doesn't belong to `format`, obviously, it's a wrong value. But I didn't get any hints for it.

---
It'll be great UX if we can give some hints for the wrong config values.

Start by tracing how the SQL `SET datafusion.explain.format` command parses and stores configuration values, using the `indnet` and `indent` examples as the reproduction. Identify the existing configuration tests or command entry point and verify that valid values continue to work while an invalid value produces a useful hint or error.

Written by the indexing model from the issue text.