feat: add connection check method to all source and destination connectors (#2000)
### Description
Add a `check_connection` method to each connector to easily be able to
check it without running the full ingest process. As part of this PR,
some refactoring done to allow clients to be shared and populated across
the `check_connection` method and the `initialize` method, allowing for
the `check_connection` method to be called without having to rely on the
`initialize` one to be called first.
* bonus: fix the changelog
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Co-authored-by: ryannikolaidis <1208590+ryannikolaidis@users.noreply.github.com>