Variables don't get set with jupysql using the native connection

[danielsparing]

Experiencing it at least both in Colab and in VSCode on Windows (loosely following the Jupyter doc):

!pip install jupysql

import duckdb

%load_ext sql
conn = duckdb.connect()
%sql conn --alias duckdb

%%sql
SET VARIABLE my_var = 30;
SELECT getvariable('my_var') as my_var;

Returns a 1x1 table:

my_var
None

It works fine using SQLAlchemy.