Incorrect string value: '\\xD0\\xA2\\xD0\\x9E\\xD0\\x9E...' for column Username in MySQL DataGrip specific
A bit strange case, but I'll leave the answer we've came up to ourselves:

Fixed after I've used NVARCHAR (or VARCHAR CHARACTER SET UTF8;), not VARCHAR for variable declaration and for temporary table's creation scheme. The problem appeared ONLY when we used temp table in the script. For regular tables our VARCHAR with default DB collation/charset worked OK.
I still don't know why DBForge ignored it and calling procedure
created in it caused no problems (but there really were problems: &quot;?&quot;
instead of UTF8 characters).

UPDATE: added issue on DataGrips tracker, because I think that failing to execute the procedure is not the correct behavior in such case: https://youtrack.jetbrains.com/issue/DBE-11789