mysqldump included character_set_client magic
that is unknown before 4.1 even when asked for
an appropriate compatibility mode.

In compatibility (3.23, 4.0) mode, we do not
output charset statements (not even in a
"comment conditional"), nor do we do magic on
the server, even if the server is sufficient
new (4.1+). Table-names will be output converted
to the charset requested by mysqldump; if such
a conversion is not possible (Ivrit -> Latin),
mysqldump will fail.

client/mysqldump.c:
  in 3.23/4.0 compat mode, don't do charset magic,
  period. not in output, but not on the server,
  either!
mysql-test/r/mysqldump-max.result:
  character_set_client magic lives in version-conditional
  now (except in compat 3.23/4.0 mode, in which case we
  don't output any at all!).
mysql-test/r/mysqldump.result:
  character_set_client magic lives in version-conditional
  now (except in compat 3.23/4.0 mode, in which case we
  don't output any at all!).
mysql-test/r/openssl_1.result:
  character_set_client magic lives in version-conditional
  now (except in compat 3.23/4.0 mode, in which case we
  don't output any at all!).
mysql-test/t/mysqldump.test:
  character_set_client magic lives in version-conditional
  now (except in compat 3.23/4.0 mode, in which case we
  don't output any at all!).