When passing an empty user to the connect function will cause
valgrind warnings. Seems that the client code is not prepared 
to handle empty users. On 5.6 this can even be triggered by 
START SLAVE PASSWORD='...'; i.e., without setting USER='...' on
the START SLAVE command (see WL#4143 for details on the new
additional START SLAVE commands).
  
To fix this, we disallow empty users when configuring the slave
connection parameters (this decision might be revisited if the 
client code accepts empty users in the future).

sql/slave.cc:
  We throw an error if an empty user is supplied to the connection 
  function.