Document the database setting `connection_string`

**Why is this needed**: I lost almost one day trying to figure out how to connect Grafana to a PostgreSQL database using a Unix socket. This has happened to other users as well (see this issue: https://github.com/grafana/grafana/issues/58690). Had the `connection_string` be mentioned in the documentation I would've solved my problem faster. **What would you like to be added**: The setting `connection_string` should be mentioned in the official documentation! **Who is this feature for?** Everyone that requires a non-standard connection string to the database.