The grid origin is set via the tool from the right toolbar or in the custom grid dialog found under view -> grid settings.
Note however that this changes the grid not the coordinate system. (I assume you had hopes that there is a way to set the coordinate system. I kind of assume you already knew about the grid origin)
I generally use the grid origin with custom grid sizes quite often. Mostly however in the footprint editor as described in Tutorial: How to make a footprint in KiCad 5.1.x (From scratch)? (The user grid and grid origin trick is used for the full molex connector tutorial.)