MDEV-32351: Significant slowdown with outer joins: fix embedded.

For some reason, in embedded server, a command

let $a=`$query`

ignores local context. Make a workaround: use SET STATEMENT to set
debug_dbug in the same statement.

mysql-test/main/join_cache_debug.result

@@ -24,8 +24,7 @@ select
 t1.b as t1_b, t2.b as t2_b, t2.d as t2_d
 FROM t1
 LEFT JOIN t2 ON t1.b = t2.b;
-SET @old_debug=@@debug_dbug;
-SET debug_dbug='+d,analyze_print_r_unpack_ops';
+SET statement debug_dbug='+d,analyze_print_r_unpack_ops' for
 analyze
 format=json
 SELECT COUNT(*)

mysql-test/main/join_cache_debug.test

@@ -20,10 +20,9 @@ select
 FROM t1
      LEFT JOIN t2 ON t1.b = t2.b;
 
-SET @old_debug=@@debug_dbug;
-SET debug_dbug='+d,analyze_print_r_unpack_ops';
-
-let $q= analyze
+let $q=
+SET statement debug_dbug='+d,analyze_print_r_unpack_ops' for
+analyze
 format=json
 SELECT COUNT(*)
 FROM t1_t2