fread_func: move callback pointer from set to state struct

... and assign it from the set.fread_func_set pointer in the
Curl_init_CONNECT function. This A) avoids that we have code that
assigns fields in the 'set' struct (which we always knew was bad) and
more importantly B) it makes it impossibly to accidentally leave the
wrong value for when the handle is re-used etc.

Introducing a state-init functionality in multi.c, so that we can set a
specific function to get called when we enter a state. The
Curl_init_CONNECT is thus called when switching to the CONNECT state.

Bug: https://github.com/bagder/curl/issues/346

Closes #346