Bluetooth: Move check for MGMT_CONNECTED flag into mgmt.c

Once mgmt_set_powered(off) starts doing disconnections we'll need to
care about any disconnections in mgmt.c and not just those with the
MGMT_CONNECTED flag set. Therefore, move the check into mgmt.c from
hci_event.c.

Signed-off-by: Johan Hedberg <johan.hedberg@intel.com>
Signed-off-by: Marcel Holtmann <marcel@holtmann.org>