Add support for catalogs to connect engine

In the MariaDB catalog tree all mtr test works.
However the test only checks that we can connect to another server with the same catalog name.

This task is to ensure that catalogs are fully supported by connect.
In particular one should be able to create a MariaDB linked catalog table that can:

• Connect from a server with catalogs to another server with a different catalog
• Connect from a server with catalogs to a server without catalogs.
• Connect from a server without catalogs to a server with catalogs.
• For this to work, there may be some changes needed in sql-common/client.c

The following already works:

• Connecting from a server without catalogs to a server without catalogs (default setup).
• Connecting from a server with catalogs to the same catalog on another server.

Things to do:

• Add a catalog option to the connect CREATE TABLE (similar to the way that databases are specified). If no catalog option is used, then the current catalog is used.
• If catalogs are used, add catalog to the database with a '.' between catalog and database.
• Fix sql-common/client.cc to support connecting from a non catalog server to a catalog server.
• Add mtr test to cover all the connect options.