Add explicit header that is no longer brought in by default.

Xrootd 4.0.2 re-arranged some headers; one of the ones we use (XrdClient/XrdClientConn.hh) is now marked as private and no longer implicitly dragged in as part of the XrdClient.hh.  Hence, we must explicitly include it.

This is part of the transition-to-Xrootd-4.0.2 work.  We'll need to use the private headers for awhile to rebase to the latest external (prior to converting the new client).