[sesion] distinction between Connection handled by the session and other. Not mixing the new and backward compat approach seems a good idea. Let's enforce it.

[session] replace _clear_thread_storage with close_cnx There is not good reason to keep two distinct method.

[session] explicitly take Connection object in close_cnx Now that ClientConnection explicitly reference and use the Connection object we do not need to use connectionid here. We can safely change this signature, ClientConnection is the only use of close_cnx for now.