Fix for connection attempt after connection cancel

When connection attempt is canceled, we put the transport control block
(p_tcb) into CLOSING state, but we never close or free it.
For LE devices that have not established the connection, it's safe to
go straight to CLOSED state and free the p_tcb.

This issue was introduced during connection manager refactor.

Bug: 127242749
Test: GattConnectTest
Change-Id: I8e45ead9b071c60e95d2e60dcea8afdbaefb92b1