Call btm_ble_set_conn_st before on_connection_complete

on_connection_complete can trigger BTM_WhiteListRemove, which sends
"LE Create Connection Cancel" if the connection is pending.

Make sure connection state is updated before calling on_connection_complete.
Otherwise we send an unnecessary "LE Create Connection Cancel" request.

Bug: 112827989
Test: establish Direct connection with at least one device in the
      background connection procedure. Verify HCI snoop log content

Change-Id: I1b8532f4e58d5ab62b471ce0bde6c48640c83ff7