CHANGE MASTER sets @@global.relay_log_purge true or false as needed depending
on whether RELAY_LOG_FILE and/or RELAY_LOG_POS is used in the command.

However, with multi-source, this is changed globally, not per-master. This
means that one CHANGE MASTER command can overwrite the value for
another. Thus, we may purge relay logs needed by a different master
connection, or leave dangling relay logs for one that does not need them.

It seems that @@global.relay_log_purge needs to become a per-master-connection
value.

The following test case demonstrates this; mtr will warn that the global
relay_log_purge value changed even though we manipulated only the 'abc' master connection.

--source include/not_embedded.inc

--source include/have_innodb.inc

--error ER_RELAY_LOG_INIT

change master 'abc' to relay_log_file='';