sql_mode can't be set with non-ascii connection charset

MariaDB [test]> set sql_mode = 'NO_ENGINE_SUBSTITUTION';

Query OK, 0 rows affected (0.00 sec)

MariaDB [test]> set character_set_connection=utf32;

Query OK, 0 rows affected (0.00 sec)

MariaDB [test]> set sql_mode = 'NO_ENGINE_SUBSTITUTION';

ERROR 1231 (42000): Variable 'sql_mode' can't be set to the value of 'NO_ENGINE_SUBSTITUTION'