client: CONNECTION_ERROR: target at local protocol if possible

Until now LWS_CALLBACK_CLIENT_CONNECTION_ERROR handling could only
take place on protocols[0].

This patch changes LWS_CALLBACK_CLIENT_CONNECTION_ERROR to be sent
to the protocol the client connection was bound to... if nothing
better that is still protocols[0], but if you created the client
connection using info.local_protocol_name, it will now be sent to
the bound protocol handler instead.