With statement- or mixed-mode logging, "LOAD DATA INFILE" queries
are written to the binlog using special types of log events.
When mysqlbinlog reads such events, it re-creates the file in a
temporary directory with a generated filename and outputs a
"LOAD DATA INFILE" query where the filename is replaced by the
generated file. The temporary file is not deleted by mysqlbinlog
after termination.

To fix the problem, in mixed mode we go to row-based. In SBR, we
document it to remind user the tmpfile is left in a temporary
directory.