Is there a way to set this option other than by setting the LINK environment variable with the "/STACK:8000000" value?
Setting the LINK environment variable should also work under Visual COBOL for linking native .exes but you can additionally set the link directives in the project properties.
Open the properties and look at the COBOL Link tab. Near the bottom there is a field called Additional Directives.
You can pass directives to the linker by specifying the -wl option along with the directive.
For managed code we have a directive called -ILSTACKSIZE that allows you to do this.