BUG #17303: statement_timeout does not work always

The following bug has been logged on the website:

Bug reference: 17303
Logged by: RekGRpth
Email address: rekgrpth(at)gmail(dot)com
PostgreSQL version: 10.19
Operating system: ubuntu
Description:

in postgres 10.19
psql -c "SET statement_timeout = 1000;select pg_sleep(2);"
pg_sleep
----------

(1 row)

but
psql
psql (14.1 (Ubuntu 14.1-1.pgdg21.10+1), server 10.19 (Ubuntu
10.19-1.pgdg21.10+1))
Type "help" for help.

postgres=# SET statement_timeout = 1000;select pg_sleep(2);
SET
ERROR: canceling statement due to statement timeout

and in postgres 14.1
psql -c "SET statement_timeout = 1000;select pg_sleep(2);"
ERROR: canceling statement due to statement timeout

Why statement_timeout does not work always in postgres 10.19?