Add more tests for utility commands in pipelines

Add more tests for utility commands in pipelines

This commit checks interactions with pipelines and implicit transaction
blocks for the following commands that have their own behaviors when
used in pipelines depending on their order in a pipeline and sync
requests:
- SET LOCAL
- REINDEX CONCURRENTLY
- VACUUM
- Subtransactions (SAVEPOINT, ROLLBACK TO SAVEPOINT)

These scenarios could be tested only with pgbench previously.  The
meta-commands of psql controlling pipelines make these easier to
implement, debug, and they can be run in a SQL script.

Author: Anthonin Bonnefoy <anthonin.bonnefoy@datadoghq.com>
Discussion: https://postgr.es/m/CAO6_XqroE7JuMEm1sWz55rp9fAYX2JwmcP_3m_v51vnOFdsLiQ@mail.gmail.com