Pico C/C++ SDK (pdf version, 2024-08-09, c274ff8-clean) list set_sys_clock_khz as a function included by "pico/stdlib.h". However, calling it will result in warning: implicit declaration of function 'set_sys_clock_khz'.
After a little digging it seems like the function was in "pico/stdlib.h" on sdk v1.5.1, but moved to "hardware/clocks.h" in sdk v2.0.0, and is not pulled in by "pico/stdlib.h".