MAINT: Don't format logs in log call.

[Carreau]

In particular f-string:

There are many reason not to use f-string in logs,

• F-strings are eager, so might be slow.
• prevent structured logging or handler to highlight.
• Security (untrusted input can lead to DOS on formatting, https://discuss.python.org/t/safer-logging-methods-for-f-strings-and-new-style-formatting/13802)
• Performance (we can filter before formatting).

But also % formatting in a couple of places.

See jupyter_client/jupyter_client#919 ipython/ipython#13903