[SPARK-3741] Make ConnectionManager propagate errors properly and add mo...

...re logs to avoid Executors swallowing errors

This PR made the following changes:
* Register a callback to `Connection` so that the error will be propagated properly.
* Add more logs so that the errors won't be swallowed by Executors.
* Use trySuccess/tryFailure because `Promise` doesn't allow to call success/failure more than once.
Ah, nevermind: I see that we now log the errors at the error sites before calling the callbacks.  Good change.