Why does PostgreSQL ignore auto_explain.log_analyze = 0 in is postgresql.conf file and how can I turn on auto_explain for all sessions?
Hmm, in my desperation I further remembered I could try this:
ALTER SYSTEM auto_explain.log_min_duration = '0s';

and it would accept it. It would also recognize if I am using bogus values. Hm, apparently now also acted on it. Is there some sort of stored settings from ALTER SYSTEM that always overrides what postgresql.conf contains? That could be a reasonable answer.
I noticed more strange behavior that after a restart now it does work initially. The ALTER SYSTEM does not need to be invoked again. But it takes some time to begin the auto_explain logging, the very first command was not logged, but then it was.