[clangd] Lazily create CDB, remove setCompileCommandsDir.

Summary:
The only way to actually set the directory is at initialize time,
so now CDB is lazy we can pass it to the constructor.

Reviewers: hokein

Subscribers: ilya-biryukov, ioeric, MaskRay, jkorous, arphaman, kadircet, cfe-commits

Differential Revision: https://reviews.llvm.org/D53572

llvm-svn: 345031