Bluetooth: host: Refactor stopping directed advertiser

Refactor stopping directed advertiser to disconnect the state object
when calling advertise stop. This follows the same pattern as
bt_conn_disconnect.

Remove returning conn objects in BT_CONN_CONNECT state, this state could
only  be an initiator starting a connection in the central role.

Signed-off-by: Joakim Andersson <joakim.andersson@nordicsemi.no>