We have some links connected into Juniper routers and they learn routes through BGP. We have the BGP sessions configured with multipath so we already have ECMP working.

Is it possible to set different weights associated with different next-hops ?

We have this implemented on other platforms, but I didn't found how to do it on Juniper.

Is this a completely not supported feature? or maybe I need some license, etc?

BGP doesn't have in-built weighted ECMP feature like IGP.

Below is the available option, which is almost related to weight addition to path (but not same).

https://www.juniper.net/documentation/us/en/software/junos/ai-ml-evo/topics/topic-map/bgp-link-bandwidth.html

The link-bandwidth is the one which is closest option available for wECMP in Junos.

From Doc:

Benefits

• With multipath enabled, link-bandwidth provides weighted equal-cost multipath (WECMP) for unequal load balancing.

As per internal team, the bgp-link-bandwidth has been in use for many years now for same purpose.