How to change/create SIM PIN using AT commands when the SIM card has no PIN?

TL;DR

In order to set the PIN code 1234 you need to provide the following command:

AT+CLCK="SC",1,"1234"

Explanation

As you correctly wrote, AT+CLCK is the correct command to enable/disable any module's facility, included "SIM PIN request". But your syntax is wrong.

According to ETSI specification, the correct syntax is

AT+CLCK=<fac>,<mode>[,<passwd>[,<class>]]

Where:

• <fac> (string) is the facility to be locked/unlocked ("SC" in case of "SIM (PIN request)").
• <mode> (integer) is the operation to be done on the facility. This parameter was missing in your attempts.
  • 0 to unlock
  • 1 to lock
  • 2 to query lock status
• <passwd> is the password set with +CPWD (in your case it should be the PIN code but it is probably not required since it is not set).
• <class> is a sum of integers each representing a class of information. You don't need it for your task.

Note: in development phase, when "playing" with AT commands, I suggest enabling verbose errors mode providing either AT+CMEE=1 or AT+CMEE=2 according to what your device do support (check it by providing test command AT+CMEE=?).