MDEV-186 Client programs throw warnings about memory loss when executed with --help or alike

suppress these harmless but confusing warnings.
fix the program name (MY_INIT) in mysqldump

client/mysqldump.c:
  for backward compatibility, prefix mysqldump error messages with "mysqldump", not with the full path of the executable

client/mysql_plugin.c

@@ -100,6 +100,7 @@ int main(int argc,char *argv[])
   char operation[16];
 
   MY_INIT(argv[0]);
+  sf_leaking_memory=1; /* don't report memory leaks on early exits */
   plugin_data.name= 0; // initialize name
   
   /*