Various behaviors needed by associations (such as creating the through
record) are lost when `where` is called, since we stop having a
`CollectionProxy` and start having an `AssociationRelation` which does
not contain this behavior. I *think* we should be able to rm
`AssociationRelation`, but we have tests saying the changes required to
do that would be bad (Without saying why. Of course. >_>)

Fixes #19073.