Purge does not remove /etc/matrix-synapse/conf.d/server_name.yaml

This issue has been migrated from [#8608](https://github.com/matrix-org/synapse/issues/8608).

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### Description

Using the purge does not remove the server_name.yaml file.
However, the following output is given:

dpkg: warning: while removing matrix-synapse-py3, directory '/var/log/matrix-synapse' not empty so not removed
dpkg: warning: while removing matrix-synapse-py3, directory '/var/lib/matrix-synapse' not empty so not removed
dpkg: warning: while removing matrix-synapse-py3, directory '/etc/matrix-synapse' not empty so not removed

### Steps to reproduce

- On Debian 10, using "sudo apt-get autoremove --purge matrix-synapse-py3" or "sudo apt-get purge matrix-synapse-py3"
- The file is also not overwritten after reinstalling

### Version information

- **Homeserver**:

Issue was on my self-hosted server on Debian 10.

- **Version**: 1.21.2
-Python version: 3.7.3

- **Install method**: sudo apt install matrix-synapse-py3

- **Platform**: Debian 10 VM