Better Error Messages for Invalid URLs

### Problem Statement

I bashed my head against a wall for quite some time, not realising that you didn't accept non-standard ports in your MCP server URLs.

The error message you get if someone has put a port number in the Connector URL is useless in understanding why the connection failed.

### Proposed Solution

Validate the URL field - either before or after hitting the 'Add' button - and tell the user when their MCP server URL is invalid.

You already check for structural validity (ie. contains https), it just needs to also report an error if the URL contains a colon before the 3rd slash.

### Alternatives Considered

_No response_

### Area

MCP Connector (adding/managing servers)

### Priority

Medium - Would be helpful

### Additional Context

_No response_