Arrow Flight SegFault

Typo in grpc endpoint results in segfault. Probably should result in warning instead.

ziheng@ziheng:~$ python3
Python 3.8.0 (default, Nov  6 2019, 21:49:08) 
[GCC 7.3.0] :: Anaconda, Inc. on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import pyarrow.flight
>>> flight_client = pyarrow.flight.connect("grcp://0.0.0.0:5005")

**Reporter**: [Ziheng Wang](https://issues.apache.org/jira/browse/ARROW-18105) / @marsupialtail

_{**Note**: *This issue was originally created as [ARROW-18105](https://issues.apache.org/jira/browse/ARROW-18105). Please see the [migration documentation](https://github.com/apache/arrow/issues/14542) for further details.*}

Reproduce the failure from the reported Python entry point, pyarrow.flight.connect("grcp://0.0.0.0:5005"). Then inspect the Arrow Flight endpoint handling around connection setup and add or run the relevant tests if they exist. Done means a mistyped grpc endpoint no longer segfaults and instead produces a warning.

Written by the indexing model from the issue text.