Add more docs on engine connecting w/ URL parameters
We have a special section for connect_args but didn't appropriately
introduce that URL keywords may be used as well, which otherwise
does not seem to be documented in a generalized way. Add
this additional detail and contrast between URL query string
and connect_args including providing some transparency for
how to see what URL query string parameters will do for a given
dialect, as we do not handle these parameters consistently
right now.