Jailshell and mysql commands
If your user's have jailshell and try mysql commands, including mysqldump, it will fail.
user@domain [~]# mysql ERROR 2002 (HY000): Can't connect to local MySQL server through socket '/var/lib/mysql/mysql.sock' (2)
This is because jailshell does not have the mysql socket. There is a workaround. Call mysql with -h 127.0.0.1 for example
mysql -h 127.0.0.1 -u username -p