Typically permissions and settings are tree based. Your settings for the session will be a pointer to the default settings one level above yours. You session settings are going to be already created and just referencing the default settings when you first connect.
When you modify a setting, such as by setting the storage_engine value, you are either creating a new copy of all of the settings and changing one value (as in Apache) or adding another layer to the tree that it has to check in when resolving values. I am not actually sure which one MySQL uses, but either way, if you do not need this setting, you should not set it on every round trip.
If you do need it relatively frequently, it might be worth the performance hit. A similar issue occurs in PHP. You do not want to modify variables like the PHP include path in your PHP code, that used to add a ton of overhead.