Before the override refactor (3bb5e58), overrides were never reset in tests,.
which didn't cause issues with current code, but was fragile
(ref: #18066).

After the refactor, tests do reset overrides in an accidental way:
If an individual test source includes an internal curl header for
the first time, which includes curl_setup.h, it resets the overrides.

In such case a per-source memdebug.h include is necessary.
In other cases it's redundant.

Dedicing which is happening for an individual source is non-trivial.

So we'd want to keep including memdebug.h in each test source
just in case.

But that still doesn't solve the accidental reset behavior. To make
sure it's done for each source file, perhaps it should be done from
first.h, and possibly ask curl_setup.h to not reset when compiling
tests.

But, but, if we disable this feature in curl_setup.h anyway,
perhaps it's better to reset/override manually when necessary?
For libtests this'd save code, because it's rarely necessary. For
units, it might code, because it's mostly necessary.