[fix][proxy] Only go to connecting state once (#19331)

Relates to: #17831 (comment)

### Motivation

When the `ProxyConnection` handles a `Connect` command, that is the time to go to `Connecting` state. There is no other time that makes sense to switch to connecting. The current logic will go to connecting in certain re-authentication scenarios, but those are incorrect. By moving the state change to earlier in the logic, we make the state transition clearer and prevent corrupted state.

### Modifications

* Remove `state = State.Connecting` from the `doAuthentication` method, which is called multiple times for various reasons
* Add `state = State.Connecting` to the start of the `handleConnect` method.

### Verifying this change

The existing tests will verify this change, and reading through the code makes it clear this is a correct change.

### Does this pull request potentially affect one of the following parts:

Not a breaking change.

### Documentation

- [x] `doc-not-needed`

It would be nice to map out the state transitions for our connection classes. That is our of the scope of this small improvement.

### Matching PR in forked repository

PR in forked repository: michaeljmarshall#21

(cherry picked from commit c8650ce)

Author: michaeljmarshall

pulsar-proxy/src/main/java/org/apache/pulsar/proxy/server/ProxyConnection.java

@@ -398,12 +398,12 @@ private void doAuthentication(AuthData clientData)
             LOG.debug("[{}] Authentication in progress client by method {}.",
                     remoteAddress, authMethod);
         }
-        state = State.Connecting;
     }
 
     @Override
     protected void handleConnect(CommandConnect connect) {
         checkArgument(state == State.Init);
+        state = State.Connecting;
         this.setRemoteEndpointProtocolVersion(connect.getProtocolVersion());
         this.hasProxyToBrokerUrl = connect.hasProxyToBrokerUrl();
         this.protocolVersionToAdvertise = getProtocolVersionToAdvertise(connect);