MyISAM doesn't do referential integrity. It seems it is legal to add such constraints and hence no error, though the constraints won't be enforced as long as the engine is myISAM. It does store the keys created so the user can see what was intended, though.
The InnoDB engine should generally (unless you have a fulltext index for instance) be preferred, as InnoDB allows transactions, foreign keys, and row locking, for instance.
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