[Don't merge] Variation on azure support

This is further work based on the 'azure-support' branch. It removes the 'azure' flags from the `connect()` functions and *always* sets the seleted DB name in the LOGINREC structure before calling `dbopen()` as suggested by @damox .

One caveat I had was if this could break usage when connecting to non-Azure servers. But so far SQL Server Express 2005 doesn't dislike this in local tests. I'm creating the PR to see how things go with the CI servers.