If init_command was incorrect, we couldn't let users execute
queries, but we couldn't report the issue to the client either
as it does not expect error messages before even sending a
command. Thus, we simply disconnected them without throwing
a clear error.

We now go through the proper sequence once (without executing
any user statements) so we can report back what the problem
is. Only then do we disconnect the user.

As always, root remains unaffected by this as init_command is
(still) not executed for them.

mysql-test/r/init_connect.result:
  We now report a proper error if init_command fails.
  Expect as much.
mysql-test/t/init_connect.test:
  We now report a proper error if init_command fails.
  Expect as much.
sql/sql_connect.cc:
  If init_command fails, throw an error explaining this to
  the user.