ConnectSE: improve table discovery error message when local database doesn't exist

MariaDB [(none)]> CREATE OR REPLACE TABLE test.t1 ENGINE = CONNECT TABLE_TYPE = MYSQL CONNECTION=[...]

ERROR 1939 (HY000): Engine CONNECT failed to discover table `test`.`t1` with 'CREATE TABLE whatever (`id` BIGINT UNSIGNED NOT NULL) TABLE_TYPE='MYSQL' [...]

MariaDB [(none)]> use test;

ERROR 1049 (42000): Unknown database 'test'

MariaDB [(none)]> create database test;

Query OK, 1 row affected (0.001 sec)

MariaDB [(none)]> CREATE OR REPLACE TABLE test.t1 ENGINE = CONNECT TABLE_TYPE = MYSQL [...]

Query OK, 0 rows affected (0.027 sec)