This is a regression introduced by 223d2bde.
It appears that regression was introduced in 4.1, 4.0.x does not share
this behaviour.

Temp files were not created for MPEG-TS segments options - HLS_TEMP_FILE
flag was never set on AVFormatContext, it is however set on HLSContext object.
In order to fix this issue, proper flags field must be checked. In addition,
renaming code was messed up and apparently was working only for MP4 files.