Collect session warnings

[kuba--]

After we implemented SHOW WARNINGS, right now we need to collect to session warnings.
PR: #464 extended Session interface by:

• AppendWarning(warn *sql.Warning)
• Warnings()[]*sql.Warning
  So, what left is to collect session warnings and call ctx.Session.AppendWarning(...)

Related to:

• Implement SHOW WARNINGS; #442

• Show warnings - implementation #464

• https://dev.mysql.com/doc/refman/8.0/en/show-warnings.html

[erizocosmico]

AppendWarning is perhaps too specific to how it's implemented. How about AddWarning or just Warn?