Yes, the intended syntax for this is set_start_value.(Z, warm_start_value), but Mosek doesn’t support setting the start value of a PSD matrix variable.
For set_start_values(model, variable_primal_start = warm_start_value), variable_primal_start needs to be a function that takes the scalar variable and returns a Float64 start value. But it still won’t work, because Mosek doesn’t support setting the start value of a PSD matrix variable.