FR: Avoid using exit node for direct connection establishment?

### What are you trying to do?

I am using an exit node with custom DNS resolving and relays TCP/UDP traffic. I notice that if I switch to this exit node for my desktop, it will fail to establish direct connection.

### How should we solve this?

I think the bottom line, if not by design, is that the connection establishment should avoid being routed via exit node.

### What is the impact of not solving this?

Currently I have to turn off exit node on my desktop manually to establish direct connection and then turn it on again.

### Anything else?

_No response_

Start by tracing how direct connection establishment is routed when an exit node with custom DNS and relays is enabled. Determine whether connection setup can bypass the exit node without breaking the stated traffic behavior, then add coverage for establishing a direct connection while the exit node remains active.

Written by the indexing model from the issue text.