It is not possible to set MAC address for sub-interface using CLI:

{{vpp# sh int
Name Idx State Counter Count
GigabitEthernet0/8/0 1 down
GigabitEthernet0/9/0 2 down
local0 0 down

vpp# create sub-interfaces GigabitEthernet0/8/0 0
GigabitEthernet0/8/0.0
vpp# sh int
Name Idx State Counter Count
GigabitEthernet0/8/0 1 down
GigabitEthernet0/8/0.0 3 down
GigabitEthernet0/9/0 2 down
local0 0 down
vpp# set interface mac address GigabitEthernet0/8/0.0 11:22:33:44:01:21
Connection closed by foreign host.

lab@DUT1:~$ telnet 0 5002
Trying 0.0.0.0...
Connected to 0.
Escape character is '^]'.
_______ _ _ _____ ___
_/ __/ _ \ ()__ | | / / _ \/ _ \
_/ _// // / / / _ \ | |/ / ___/ ___/
// /__()/_/ |_// /_/

vpp# sh int
Name Idx State Counter Count
GigabitEthernet0/8/0 1 down
GigabitEthernet0/9/0 2 down
local0 0 down
vpp#
}}

vpp# sh ver
vpp v16.12-rc0~237-g1a939e8 built by root on DUT1 at Thu Oct 20 10:47:12 CEST 2016