[Utilities] Fix modifying an un-set objective sets the objective

[odow]

Closes #1214

See the issue for background, but we have a decision.

Should set_objective_coefficient in the following:

model = Model()
@variable(model, x)
set_objective_coefficient(model, x, 1.0)

1. Throw an error along the likes of "Unable to modify objective because no objective is set."
2. Assume an empty ScalarAffineFunction objective exists and modify the linear term?

Currently, this PR does 2, but I would also support the first option.

[joehuchette]

I think behavior 2 makes the most intuitive sense.

[blegat]

2. works here as we allow the sense to be FEASIBILITY_SENSE even if the objective function is set. However, if we go in the direction of objective that you defined with set and function given simultaneously as you suggested for multi-objective then 1. would be preferable.

[odow]

Seems like we can stick with (2) for now.

[matbesancon]

should this be merged? (maybe after checking that CI still passes?)

[matbesancon]

Looks good here