net: conn_mgr: Create conn_mgr thread dynamically

Statically created threads with K_THREAD_DEFINE() are launched only
after the SYS_INIT phase. This does not play well with NET_CONFIG
library, which may block during SYS_INIT until network interface
is UP and RUNNING.

In order to be able to connect to L2 network and thus mark the
network interface as running and unblock NET_CONFIG, we need to be
able to run conn_mgr thread during SYS_INIT. This can be achieved,
by starting the thread dynamically during SYS_INIT phase, instead
of relying on static thread creation.

Signed-off-by: Robert Lubos <robert.lubos@nordicsemi.no>