CommissioneeDeviceProxy fix. (#13482)

Added a review comment fix, but the logic is not correct due to an
early exit on the load function. This didn't show up when testing
because the python tool caches the proxy and doesn't need to re-look
up the pairing.

src/controller/CommissioneeDeviceProxy.cpp

@@ -138,11 +138,12 @@ CHIP_ERROR CommissioneeDeviceProxy::SetConnected()
     {
         return CHIP_ERROR_INCORRECT_STATE;
     }
+    mState = ConnectionState::SecureConnected;
     bool _didLoad;
     CHIP_ERROR err = LoadSecureSessionParametersIfNeeded(_didLoad);
-    if (err == CHIP_NO_ERROR)
+    if (err != CHIP_NO_ERROR)
     {
-        mState = ConnectionState::SecureConnected;
+        mState = ConnectionState::NotConnected;
     }
     return err;
 }