Issue title: [Bug] connect_error event is emitted on sockets
 Issue body: According to the documentation, a Socket should emit an "error" event when the connection fails (and in some cases it happens), but it also emits a "connect_error" which should only be emitted on the Manager.

This can be easily seen on the source code itself:
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L288

The manager is emitting to all its sockets the connect_error...
So one of two, fix the documentation or fix the code :). 
Note that events naming and such are already quite chaotic as they are documented, adding to the mix undocumented behaviour makes things quite hard to get right indeed.

 Comments: 
 Comment 0: `connect_error` should be emitted on all sockets. We should adjust the documentation

 Comment 1: Thanks a lot @manast for your help

 Comment 2: I did not do proper investigations to be 100% sure, however static code analysis tells me the following:

Socket emits 'connect_error' here:
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L288

And it emits 'error' here:
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L308
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L377
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L810
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L1562
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L1787
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L1969

Socket also emits 'connect_timeout' here:
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L309

I'm not sure if 'close' is undocumented event emitted to the user or it is an internal event
https://github.com/Automattic/socket.io-client/blob/master/socket.io.js#L2012
Sorry, I did not debug every case properly so I can mistake. But there is a chance that documentation does not reflect the events actually fired. I really want to help you (I really want this to be fixed :P ), so if you don't have time, I can create a pull request for you.

{'source': 'GithubIssues', 'repo_name_with_owner': 'socketio/socket.io-client', 'issue_id': 42405931, 'repo_stars': 9988.0}