chore: Prompt user to connect when running a playground VSCODE-686

[tculig]

Description

Before, if the user started a playground, and no connection is currently active, it would show a "toast" message in the bottom right corner:

The new logic is to instead offer them which collection to connect to:

However, I found this easy to miss, since if the user has no connections, its only a single line dropdown with muted colors that popup up.
So I added this interim step, so that the user gets very clear indication as to what is happening.
For experienced users, this should not be too much of a hassle, as they will probably make sure they are connected to a collection before running a playground.

Checklist

• New tests and/or benchmarks are included
• Documentation is changed or added
• I have signed the MongoDB Contributor License Agreement (https://www.mongodb.com/legal/contributor-agreement)

Motivation and Context

• Bugfix
• New feature
• Dependency update
• Misc

Open Questions

Dependents

Types of changes

• Backport Needed
• Patch (non-breaking change which fixes an issue)
• Minor (non-breaking change which adds functionality)
• Major (fix or feature that would cause existing functionality to change)