net: lwm2m: All state changes should go through set_sm_state()

Some state changes were do by directly writing into
client.engine_state variable, followed by call next_event_at(0);
This causes hard-to-find side effects.

Refactor all state transitions to use set_sm_state() to have better
control for it.

Signed-off-by: Seppo Takalo <seppo.takalo@nordicsemi.no>