And if var/ has been created, it will be recreated later so the logs will
be lost  


mysql-test/lib/mtr_process.pl:
  Send output - if any - from mysqladmin to stdout/stderr. There shouldn't
  be any such errors and if any occur, it's good to know about them.
mysql-test/mysql-test-run.pl:
  Don't create vardir before mtr_kill_leftovers