Learning from mistake.

mysqldump doesn't respect database's collation, but mysql client.

Check your mysqldump default character set by typing

mysqldump --help | grep default-character-set

You always want to add --default-character-set option

Example

mysqldump -h {$host} -u {$db_username} --password="{$db_password}" --default-character-set=utf8mb4 --single-transaction {$db_name} > {$SQL_file_name}

--single-transition option is my preferences for the database which mainly uses InnoDB