Why can some jcmd commands(eg: VM.set_flag) can not be used on all pid?

When I want to change the HeapDumpAfterFullGC flag, I use jps to find the pid of my program.

41123 Jps
5957
41031 Launcher
41032 Main # this is mine

Then I execute jcmd 41032 help

41032:
The following commands are available:
JFR.stop
JFR.start
JFR.dump
JFR.check
VM.native_memory
VM.check_commercial_features
VM.unlock_commercial_features
ManagementAgent.stop
ManagementAgent.start_local
ManagementAgent.start
GC.rotate_log
Thread.print
GC.class_stats
GC.class_histogram
GC.heap_dump
GC.run_finalization
GC.run
VM.uptime
VM.flags
VM.system_properties
VM.command_line
VM.version
help

For more information about a specific command use 'help <command>'.

The VM.set_flags is not listed and jcmd 0 help has:

5957:
The following commands are available:
Compiler.CodeHeap_Analytics
Compiler.codecache
Compiler.codelist
Compiler.directives_add
Compiler.directives_clear
Compiler.directives_print
Compiler.directives_remove
Compiler.queue
GC.class_histogram
GC.class_stats
GC.finalizer_info
GC.heap_dump
GC.heap_info
GC.run
GC.run_finalization
JFR.check
JFR.configure
JFR.dump
JFR.start
JFR.stop
JVMTI.agent_load
JVMTI.data_dump
ManagementAgent.start
ManagementAgent.start_local
ManagementAgent.status
ManagementAgent.stop
Thread.print
VM.class_hierarchy
VM.classloader_stats
VM.classloaders
VM.command_line
VM.dynlibs
VM.flags
VM.info
VM.log
VM.metaspace
VM.native_memory
VM.print_touched_methods
**VM.set_flag**     # this have it
VM.stringtable
VM.symboltable
VM.system_properties
VM.systemdictionary
VM.uptime
VM.version
help

For more information about a specific command use 'help <command>'.
41031:
The following commands are available:
JFR.stop
JFR.start
JFR.dump
JFR.check
VM.native_memory
VM.check_commercial_features
VM.unlock_commercial_features
ManagementAgent.stop
ManagementAgent.start_local
ManagementAgent.start
GC.rotate_log
Thread.print
GC.class_stats
GC.class_histogram
GC.heap_dump
GC.run_finalization
GC.run
VM.uptime
VM.flags
VM.system_properties
VM.command_line
VM.version
help

For more information about a specific command use 'help <command>'.
41032:
The following commands are available:
JFR.stop
JFR.start
JFR.dump
JFR.check
VM.native_memory
VM.check_commercial_features
VM.unlock_commercial_features
ManagementAgent.stop
ManagementAgent.start_local
ManagementAgent.start
GC.rotate_log
Thread.print
GC.class_stats
GC.class_histogram
GC.heap_dump
GC.run_finalization
GC.run
VM.uptime
VM.flags
VM.system_properties
VM.command_line
VM.version
help

For more information about a specific command use 'help <command>'.

I want to know why this happened and how I can use the jcmd to change the flag of JVM.

The list of available jcmd commands depends on the version of the target JVM.

VM.set_flag command first appeared in JDK 9.

However, HeapDumpAfterFullGC is a manageable option in JDK 8, too. This means, it is possible to change the flag in runtime, even though it is not listed by jcmd. The easiest way to do this is to use jattach utility:

$ jattach <pid> setflag HeapDumpAfterFullGC 1

Another way to set the flag is JMX: for example, with jconsole.
Find com.sun.management:type=HotSpotDiagnostic MXBean and invoke setVMOption operation:

The jcmd command lists the commands the target JVM support.
It depends on the target JVM what commands it does support and implement.
Newer JVMs do support more commands than older JVMs.

For example, on my machine a JDK 8 JVM accepts these commands, about 20:

2237216: (JDK 8 JVM)
The following commands are available:
VM.native_memory
ManagementAgent.stop
ManagementAgent.start_local
ManagementAgent.start
VM.classloader_stats
GC.rotate_log
Thread.print
GC.class_stats
GC.class_histogram
GC.heap_dump
GC.finalizer_info
GC.heap_info
GC.run_finalization
GC.run
VM.uptime
VM.dynlibs
VM.flags
VM.system_properties
VM.command_line
VM.version

And a JDK 14 JVM accepts way more commands, about 46:

2218174:
The following commands are available:
Compiler.CodeHeap_Analytics
Compiler.codecache
Compiler.codelist
Compiler.directives_add
Compiler.directives_clear
Compiler.directives_print
Compiler.directives_remove
Compiler.queue
GC.class_histogram
GC.class_stats
GC.finalizer_info
GC.heap_dump
GC.heap_info
GC.run
GC.run_finalization
JFR.check
JFR.configure
JFR.dump
JFR.start
JFR.stop
JVMTI.agent_load
JVMTI.data_dump
ManagementAgent.start
ManagementAgent.start_local
ManagementAgent.status
ManagementAgent.stop
Thread.print
VM.class_hierarchy
VM.classloader_stats
VM.classloaders
VM.command_line
VM.dynlibs
VM.events
VM.flags
VM.info
VM.log
VM.metaspace
VM.native_memory
VM.print_touched_methods
VM.set_flag
VM.stringtable
VM.symboltable
VM.system_properties
VM.systemdictionary
VM.uptime
VM.version
help

So, in summary. You don't have VM.set_flags, because your running target JVM doesn't support it.

Also, I'm not sure what VM.set_flags will exactly do. As @paulsm4 mentioned, I'm pretty sure changing the 'HeapDumpAfterFullGC' flag after the fact won't change the actual behavior. I would rather search if there is direct flag or JMX option for it.