<p>I'm also interested in other Symbian SDKs that allow to set their emulator's IMEI.</p>

I have never actually tried that but here's my best guess:
The emulator doesn't have a proper telephony implementation unless:
you link it to an actual phone over infrared/usb/serial. In which case the emulator telephony component will need configuration to use AT commands to pilot the phone (even if the phone isn't a Symbian phone). This allows you to make phone calls, send and receive SMS/MMS but certainly not change the IMEI.
you use the SIMTSY module. This is a component that uses configuration files to simulate telephony events. It can pretend to send SMS/MMS, pretend you are receiving a phone call...none of that actually creates any kind of network traffic, you understand. I assume the IMEI is in the configuration file but I don't expect you can properly change it  without restarting the emulator. I have never seen SIMTSY used outside of Symbian itself so I don't know whether it is available to third-party developer. It should be open-sourced with the rest of the operating system within the next 2 years, though.
There is also the possibility that the way the SDK itself was built disabled most of the telephony framework for the emulator, using build-time macro. You should check
http://forum.nokia.com