urldata: rename easy_conn to just conn

We use "conn" everywhere to be a pointer to the connection.

Introduces two functions that "attaches" and "detaches" the connection
to and from the transfer.

Going forward, we should favour using "data->conn" (since a transfer
always only has a single connection or none at all) to "conn->data"
(since a connection can have none, one or many transfers associated with
it and updating conn->data to be correct is error prone and a frequent
reason for internal issues).

Closes #3442

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