[SPARK-47377][PYTHON][CONNECT][TESTS][FOLLOWUP] Factor out more tests from SparkConnectSQLTestCase

### What changes were proposed in this pull request?
It is a fallowup of #45497 , and factor out more tests from `SparkConnectSQLTestCase`

It should also be the laster PR for this test :)

### Why are the changes needed?
for testing parallelism

### Does this PR introduce _any_ user-facing change?
no

### How was this patch tested?
ci

### Was this patch authored or co-authored using generative AI tooling?
no

Closes #45533 from zhengruifeng/continue_break_basic.

Authored-by: Ruifeng Zheng <[email protected]>
Signed-off-by: Hyukjin Kwon <[email protected]>

Author: zhengruifeng

dev/sparktestsupport/modules.py

@@ -1001,12 +1001,14 @@ def __hash__(self):
         # sql unittests
         "pyspark.sql.tests.connect.test_connect_plan",
         "pyspark.sql.tests.connect.test_connect_basic",
+        "pyspark.sql.tests.connect.test_connect_error",
         "pyspark.sql.tests.connect.test_connect_function",
         "pyspark.sql.tests.connect.test_connect_collection",
         "pyspark.sql.tests.connect.test_connect_column",
         "pyspark.sql.tests.connect.test_connect_creation",
         "pyspark.sql.tests.connect.test_connect_readwriter",
         "pyspark.sql.tests.connect.test_connect_session",
+        "pyspark.sql.tests.connect.test_connect_stat",
         "pyspark.sql.tests.connect.test_parity_arrow",
         "pyspark.sql.tests.connect.test_parity_arrow_python_udf",
         "pyspark.sql.tests.connect.test_parity_datasources",