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I must have a serious bug in my writing about this, because this was never about regex engines -- it's about literals and domain-specific sublanguages in general. Composing DSL programs by string concatenation is such a famous source of security bugs you see it in top-10 lists. I linked to the very similar example of a PEG parsing DSL.
But any regex engine that can work with a parse tree shows the same principle, e.g. https://edicl.github.io/cl-ppcre/#create-scanner2
An f-string evaluates to a string and not to an object such as a compiled regex. For this there are tagged template literals in Javascript (which got them from E). Example: https://github.com/erights/quasiParserGenerator
I'm working on this right now for sed :)
https://github.com/anthonyrgreen/sedx-compiler