Sets user defined data associated with the given connection.
The function allows to store arbitrary data associated to the given connection. Data stored will be indexed by the provided key, allowing to retrieve the information using: vortex_connection_get_data.
If the value provided is NULL, this will be considered as a removing request for the given key and its associated data.
See also vortex_connection_set_data_full function. It is an alternative API that allows configuring a set of destroy handlers for key and data stored.