Fix dblink's failure to report correct connection name in error messages.

The DBLINK_GET_CONN and DBLINK_GET_NAMED_CONN macros did not set the
surrounding function's conname variable, causing errors to be incorrectly
reported as having occurred on the "unnamed" connection in some cases.
This bug was actually visible in two cases in the regression tests,
but apparently whoever added those cases wasn't paying attention.

Noted by Kyotaro Horiguchi, though this is different from his proposed
patch.

Back-patch to 8.4; 8.3 does not have the same type of error reporting
so the patch is not relevant.