feat(docs): warning on overriding on_connect

[JustaSqu1d]

Summary

It adds a warning on the documentation about overriding on_connect. Also fixes a few related broken references.

Preview: https://pycord-squid-branch.readthedocs.io/en/latest/api.html#discord.Bot.auto_sync_commands
https://pycord-squid-branch.readthedocs.io/en/latest/api.html#discord.on_connect

Information

• This PR fixes an issue.
• This PR adds something new (e.g. new method or parameters).
• This PR is a breaking change (e.g. methods or parameters removed/renamed).
• This PR is not a code change (e.g. documentation, README, typehinting,
  examples, ...).

Checklist

• I have searched the open pull requests for duplicates.
• If code changes were made then they have been tested.
  • I have updated the documentation to reflect the changes.
• If type: ignore comments were used, a comment is also left explaining why.

[Elitesparkle]

If we really want to do something on_connect(), we can do it this way.

@bot.event
async def on_connect():
    if bot.auto_sync_commands:
        await bot.sync_commands()
    print(f"{bot.user.name} connected.")

I think it's worth including a note about this possibility in the warning.

Right now there is no example and it's only being mentioned for sync_commands().

By default, this coroutine is called inside the on_connect() event. If you choose to override the on_connect() event, then you should invoke this coroutine as well.