Add notes about Valgrind and SQLite memory management

Add comments to Makefile and deps/Makefile explaining that SQLite's
internal memory allocator (enabled by SQLITE_ENABLE_MEMORY_MANAGEMENT)
can cause false positives in Valgrind. To avoid this when running
Valgrind, rebuild SQLite without this flag.

Makefile

@@ -55,6 +55,11 @@ export SOURCE_DATE_EPOCH
 ###     ```
 ###
 ### ** to use on-demand coredump generation feature, compile code without ASAN option (WITHASAN=0).
+###
+### NOTES for Valgrind:
+### When running Valgrind, SQLite's internal memory allocator may cause false
+### positives in pcache*, memjrnl*, and sqlite3Btree* functions. To avoid this,
+### rebuild SQLite with -USQLITE_ENABLE_MEMORY_MANAGEMENT in deps/Makefile
 
 O0 := -O0
 O2 := -O2

deps/Makefile

@@ -267,6 +267,8 @@ endif
 mariadb_client: mariadb-client-library/mariadb_client/libmariadb/libmariadbclient.a
 
 
+# NOTE: When running Valgrind on ProxySQL, remove -DSQLITE_ENABLE_MEMORY_MANAGEMENT
+# to avoid false positives in SQLite's internal memory allocator (pcache*, memjrnl*, etc.)
 sqlite3/sqlite3/sqlite3.o:
 	cd sqlite3 && rm -rf sqlite-amalgamation-*/ || true
 	cd sqlite3 && tar -zxf sqlite-amalgamation-*.tar.gz