JULIA_DEBUG environment variable

According to the document “julia-1.7.2.pdf” page 1147 I should be able to set the environment variable on startup but I get an error as shown.

Microsoft Windows [Version 10.0.19044.1645]
(c) Microsoft Corporation. All rights reserved.

C:\Users\MyPC>JULIA_DEBUG=loading julia -e 'using DSP'
'JULIA_DEBUG' is not recognized as an internal or external command,
operable program or batch file.

C:\Users\MyPC>

However starting julia and executing the following commands seems to work

julia> using DSP

julia> ENV["JULIA_DEBUG"] = DSP
DSP

Is this a windows anomaly or a documentation error?