sql: SET does not properly rollback in a transaction

Consider the following transaction:

```
SET TIME ZONE +2;
BEGIN;
SET TIME ZONE +3;
ROLLBACK
SHOW TIME ZONE
```

If we apply a ROLLBACK, Postgres returns +2, however, CockroachDB returns +3.

This is a backwards incompatible change, not sure what the answer here is.

Jira issue: CRDB-9572