Improve error message when agent fails to connect

[marcusramberg]

Auth Interceptor isn't really a concept to the user when they are trying to connect their agent to a woodpecker server. Also include the server name they are trying to connect to and modernize a for loop.

ref #4949

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 20.18%. Comparing base (61835d7) to head (af1bee1).
⚠️ Report is 1 commits behind head on main.

Additional details and impacted files

@@           Coverage Diff           @@
##             main    #5587   +/-   ##
=======================================
  Coverage   20.18%   20.18%           
=======================================
  Files         421      421           
  Lines       39874    39874           
=======================================
  Hits         8049     8049           
  Misses      31095    31095           
  Partials      730      730           

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