### What changes were proposed in this pull request?
This is the first step to remove `HiveClient` from `HiveSessionState`. In the metastore interaction, we always use the fully qualified table name when accessing/operating a table. That means, we always specify the database. Thus, it is not necessary to use `HiveClient` to change the active database in Hive metastore.
In `HiveSessionCatalog `, `setCurrentDatabase` is the only function that uses `HiveClient`. Thus, we can remove it after removing `setCurrentDatabase`
### How was this patch tested?
The existing test cases.
Author: gatorsmile <gatorsmile@gmail.com>
Closes#14821 from gatorsmile/setCurrentDB.
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