This allows creation of SPIDER_CONN on demand, if the previous one was
freed.

Also, the first_link_idx's are reset during
spider_check_trx_and_get_conn(), which in the case of remote HANDLER
commands, might not match the link to use correct first_link_idx for
remote HANDLER statement that was later set in
ha_spider::rnd_handler_init() (causing testing regressions in the
spider/handler suite). Therefore we fix the first_link_idx there.