Bluetooth: Fix initializing conn_params in scan phase

This patch makes sure that conn_params that were created just for
explicit_connect, will get properly deleted during cleanup.

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