tidb: Killing connections needs cooperation from the to-be-killed connection

Bug Report

1. Minimal reproduce step (Required)

• Run TiDB playground.
• Connect two sessions with mysql --host 127.0.0.1 --port 4000 -u root -p
• From connection A: run SHOW PROCESSLIST and get the connection ID of the other connection (mysql reports its own connection id when starting up)
• Now from connection A issue: KILL TIDB CONNECTION <id> where ID is the connection ID of the other connection.
• Now run SHOW PROCESSLIST again.

Note that this is with a single tidb node.

2. What did you expect to see? (Required)

The killed connection gone from the processlist.

3. What did you see instead (Required)

The other connection still being in the processlist until it tries to run a query.

Once a query like do 1 is attempted on connection B the connection is gone from the processlist and connection B shows ERROR 2013 (HY000): Lost connection to MySQL server during query

4. What is your TiDB version? (Required)

mysql> select tidb_version()\G
*************************** 1. row ***************************
tidb_version(): Release Version: v5.0.0
Edition: Community
Git Commit Hash: bdac0885cd11bdf571aad9353bfc24e13554b91c
Git Branch: heads/refs/tags/v5.0.0
UTC Build Time: 2021-04-06 16:36:29
GoVersion: go1.13
Race Enabled: false
TiKV Min Version: v3.0.0-60965b006877ca7234adaced7890d7b029ed1306
Check Table Before Drop: false
1 row in set (0.00 sec)