So it can't be set from the preferences, but you can manually set it like this from the command line, or in the open network stream dialog in the advanced boxes.
Do you think that this is a popular enough feature that it would be nice to add a custom field in the open dialog to specify this?
It's very popular in Italy, where the national TV broadcasting service won't serve the streams unless it recognizes a user agent which looks-like coming from a web browser (eh..)
When trying to play a http-stream (e.g. http://apasfiisl.apa.at/ipad/orf3_q6a/orf.sdp/playlist.m3u8 ) that requires a change of the http User-Agent (anything but "VLC..."), the per input option :http-user-agent="whatever/0.1" is not applied to subsequently opened chunk-lists or segments.
So please, either fix the per-input option so it will be applied to all http requests that result from playing that stream, or just enable it working as a global option (why not?).