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> (However, AFAIK this recommendation is nowhere in the manual or even in lua.org.)

Yes this is in lua.org:

... For Unix, we recommend that the Lua library be linked statically
into the host program...

http://www.lua.org/work/doc/

Actually, this is done by a search for lua.org.

Last time I did see it somewhere in PiL or the reference manual, but
it is much easier search within a web site than within a book.