But there is no Last_IO_Error reported.

On the master, if a binary log event is larger than max_allowed_packet,
ER_MASTER_FATAL_ERROR_READING_BINLOG and the specific reason of this error is
sent to a slave when it requests a dump from the master, thus leading
the I/O thread to stop.

On a slave, the I/O thread stops when receiving a packet larger than max_allowed_packet.

In both cases, however, there was no Last_IO_Error reported.

This patch adds code to report the Last_IO_Error and exact reason before stopping the
I/O thread and also reports the case the out memory pops up while
handling packets from the master.