mender-cli: improve auth error messages

When mender-cli does not have a proper JWT token to the server it will create very confusing error messages.

For example:

$ mender-cli terminal --server "https://mender.example.com" c5f90b7c-bb8f-4527-8658-4352ae2500a4
Configuration file not found. Continuing.
Connecting to the remote terminal of the device c5f90b7c-bb8f-4527-8658-4352ae2500a4...
FAILURE: Unable to connect to the device: websocket: bad handshake

Also see the thread here: https://hub.mender.io/t/bad-handshake-with-mender-cli

We should improve the usability of the "login" feature and features depending on it.

Acceptance criteria:

• All mender-cli commands that require a login generate an error if you are not logged in (i.e. authenticated successfully). It suggest running mender-cli login.
• The --server argument is saved together with the login token. (Now It seems you have to pass --server for every single command now (unless you use hosted), which defeats the usability of login)
• For the Troubleshoot features requiring instant access to a device, the error message indicates if a device is not connected to the Mender server (similarly to what we have in the UI)