Complement tests: https://github.com/matrix-org/complement/pull/405

This happens when you have some messages imported before the room is created.
Then use MSC3030 to look backwards before the room creation from a remote
federated server. The server won't find anything locally, but will ask over
federation which will have the remote event. The previous logic would
choke on not having the local event assigned.

```
Failed to fetch /timestamp_to_event from hs2 because of exception(UnboundLocalError) local variable 'local_event' referenced before assignment args=("local variable 'local_event' referenced before assignment",)
```