OK, to set a Lookup Value from a PCF (assuming your PCF isn't Bound to that lookup) you will need to use the WebApi in your PCF. First, uncomment the use of WebApi from the manifest file and rebuild your control. This will give you a context.webapi object in typescript you can use to perform various actions.
Next, you will need to put an update in the correct place in your code. Here is a reference page on the PCF webapi update syntax, but it doesn't have any examples, so check out the the client script api reference page for examples (the syntax is basically identical).
What you'll see is that when updating a lookup value you need to use this odata syntax to bind the guid input you're providing to a specific table.
var data =
{
"primarycontactid@odata.bind": "/contacts(61a0e5b9-88df-e311-b8e5-6c3be5a8b200)"
}
So your data object will contain a row that references:
"{fieldname of your lookup}@odata.bind" : "/{plural form of the lookup table name}({record guid})"
