[opt](catalog) Improve error messages in connectivity tests by using root cause information

[zy-kkk]

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[zy-kkk]

run buildall

[hello-stephen]

Thank you for your contribution to Apache Doris.
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Please clearly describe your PR:

1. What problem was fixed (it's best to include specific error reporting information). How it was fixed.
2. Which behaviors were modified. What was the previous behavior, what is it now, why was it modified, and what possible impacts might there be.
3. What features were added. Why was this function added?
4. Which code was refactored and why was this part of the code refactored?
5. Which functions were optimized and what is the difference before and after the optimization?

[hello-stephen]

FE UT Coverage Report

Increment line coverage 0.00% (0/5) 🎉
Increment coverage report
Complete coverage report

[hello-stephen]

FE Regression Coverage Report

Increment line coverage 40.00% (2/5) 🎉
Increment coverage report
Complete coverage report