In fact we just need to set HTTP_HOST in server parameter before calling request:

public function setUp()
{
    $this->client = static::createClient();
    $this->container = static::$kernel->getContainer();
    $this->client->setServerParameter('HTTP_HOST', $this->container->getParameter('my.host'));
}

But I think the BC break needs to be documented even if it was a bad behaviour before.

@raziel057 have you looked at #16265?

@jakzal yes I know it's a bug fix but maybe the change can be documented. I close this issue.

@raziel057 please propose a PR if you think think this is something worth documenting. I might be missing something in this particular case, because bug-fixes are usually not treated as BC breaks.