Doc: remove misleading info about ecpg's CONNECT/DISCONNECT DEFAULT.

As far as I can see, ecpg has no notion of a "default" open
connection.  You can do "CONNECT TO DEFAULT" but that just specifies
letting libpq use all its default connection parameters --- the
resulting connection is not special subsequently.  In particular,
SET CONNECTION = DEFAULT and DISCONNECT DEFAULT simply act on a
connection named DEFAULT, if you've made one; they do not have
special lookup rules.  But the documentation of these commands
makes it look like they do.

Simplest fix, I think, is just to remove the paras suggesting that
DEFAULT is special here.

Also, SET CONNECTION *does* have one special lookup rule, which
is that it recognizes CURRENT as an alias for the currently selected
connection.  SET CONNECTION = CURRENT is a no-op, so it's pretty
useless, but nonetheless it does something different from selecting
a connection by name; so we'd better document it.

Per report from Sylvain Frandaz.  Back-patch to all supported
versions.

Discussion: https://postgr.es/m/169824721149.1769274.1553568436817652238@wrigleys.postgresql.org

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