[SPARK-40073][INFRA][BUILD][CORE][SQL][AVRO][PYTHON] Replace `external/{moduleName}` with `connector/{moduleName}`

### What changes were proposed in this pull request?
SPARK-38569 rename `external` top level dir to `connector`, but the use of `external/${moduleName}` still remains in Spark, this pr replaces them all with `connector/{moduleName}`

### Why are the changes needed?
Should use  `connector/{moduleName}` instead of `external/${moduleName}

### Does this PR introduce _any_ user-facing change?
No

### How was this patch tested?
Pass GitHub Actions

Closes #37512 from LuciferYang/external-2-connector.

Authored-by: yangjie01 <yangjie01@baidu.com>
Signed-off-by: Wenchen Fan <wenchen@databricks.com>