Use thd_get_ha_data()/thd_set_ha_data() which protect against plugin
removal until it has THD ha_data.

Do not reset THD ha_data in rocksdb_close_connection(), cleaner approach
is to let ha_close_connection() do it.

Removed transaction objects cleanup from rocksdb_done_func(). As we lock
plugin properly, there must be no transaction objects during RocksDB
shutdown.

Part of MDEV-19515 - Improve connect speed