"connection to server so-and-so failed:" seems clearer than the
previous wording "could not connect to so-and-so:" (introduced by
52a10224), because the latter suggests a network-level connection
failure.  We're now prefixing this string to all types of connection
failures, for instance authentication failures; so we need wording
that doesn't imply a low-level error.

Per discussion with Robert Haas.

Discussion: https://postgr.es/m/CA+TgmobssJ6rS22dspWnu-oDxXevGmhMD8VcRBjmj-b9UDqRjw@mail.gmail.com