This was recently implemented. Just update to Vim 9.0.1958 and it will just work.
patch 9.0.1958: cannot complete option values
Problem: cannot complete option values
Solution: Add completion functions for several options
Add cmdline tab-completion for setting string options
Add tab-completion for setting string options on the cmdline using
`:set=` (along with `:set+=` and `:set-=`).
The existing tab completion for setting options currently only works
when nothing is typed yet, and it only fills in with the existing value,
e.g. when the user does `:set diffopt=<Tab>` it will be completed to
`set diffopt=internal,filler,closeoff` and nothing else. This isn't too
useful as a user usually wants auto-complete to suggest all the possible
values, such as 'iblank', or 'algorithm:patience'.
For set= and set+=, this adds a new optional callback function for each
option that can be invoked when doing completion. This allows for each
option to have control over how completion works. For example, in
'diffopt', it will suggest the default enumeration, but if `algorithm:`
is selected, it will further suggest different algorithm types like
'meyers' and 'patience'. When using set=, the existing option value will
be filled in as the first choice to preserve the existing behavior. When
using set+= this won't happen as it doesn't make sense.
For flag list options (e.g. 'mouse' and 'guioptions'), completion will
take into account existing typed values (and in the case of set+=, the
existing option value) to make sure it doesn't suggest duplicates.
For set-=, there is a new `ExpandSettingSubtract` function which will
handle flag list and comma-separated options smartly, by only suggesting
values that currently exist in the option.
Note that Vim has some existing code that adds special handling for
'filetype', 'syntax', and misc dir options like 'backupdir'. This change
preserves them as they already work, instead of converting to the new
callback API for each option.