Add support for multiple error messages from libpq, by simply appending them

Add support for multiple error messages from libpq, by simply appending them
after each other (since we already add a newline on each, this makes them
multiline).

Previously a new error would just overwrite the old one, so for example any
error caused when trying to connect with SSL enabled would be overwritten
by the error message form the non-SSL connection when using sslmode=prefer.