Clarify protocol description in connection message

Clarify protocol description in connection message

- Include both the TCP- and UDP-based protocols' compression details
- The UDP-based protocol really can't be connected by the time this
  prints, since the mainloop hasn't had enough time to receive the
  connection confirmation packets; show it as "in progress"

Before (with default verbosity):

    Connected as 10.0.0.3 + dead::be:ef, using SSL + deflate
    Established DTLS connection (using GnuTLS). Ciphersuite (DTLS1.2)-(RSA)-(AES-128-GCM).

After:

    Connected as 10.0.0.3 + dead::be:ef, using SSL + Deflate, with DTLS + LZS in progress
    Established DTLS connection (using GnuTLS). Ciphersuite (DTLS1.2)-(RSA)-(AES-128-GCM).

Signed-off-by: Daniel Lenski <dlenski@gmail.com>