TMPDIR doesn't appear to work on Windows

I'm using cmd.exe as the shell (I also tried git bash with not much luck).

E:\>set TMPDIR="E:\ghcup-work"

E:\>echo %TMPDIR%
"E:\ghcup-work"

E:\>ghcup install ghc 9.2.3
[ Info  ] verifying digest of: gs.exe
[ Warn  ] Possibly insufficient disk space on C:\Users\artem\AppData\Local\Temp. At least 5000 MB are recommended, but only 1102.73 are free. Consider freeing up disk space or setting TMPDIR env variable.
[ Warn  ] ...waiting for 10 seconds before continuing anyway, you can still abort...

Why does it mention C:\Users\artem\AppData\Local\Temp when it's supposed to use E:\ghcup-work (the latter does exist if it matters).