test: Refactor DirectConnectTest for readability and consistency

[Dor-bl]

OpenQA.Selenium.Response class will be deprecated in selenium 4.30
I've updated the code under test/integration/ServerTests/DirectConnectTest.cs to follow the New Response ctor.

Refactored DirectConnectTest class to improve code readability and consistency. Updated test methods to use modern C# features such as inline variable declarations, collection initializers, and object initializers. Added a new test method WithMissingDirectConnectHost to cover the missing directConnectHost scenario.

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[Dor-bl]

@nvborisenko FYI