Host privacy: Set Identity address when retrieved

[pan-]

Summary of changes

This sets the identity address when it is retrieved from the DB.
It also fix a leftover in the SM pal.

Impact of changes

Migration actions required

Documentation

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Pull request type

[] Patch update (Bug fix / Target update / Docs update / Test update / Refactor)
[] Feature update (New feature / Functionality change / New API)
[] Major update (Breaking change E.g. Return code change / API behaviour change)

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Test results

[] No Tests required for this change (E.g docs only update)
[] Covered by existing mbed-os tests (Greentea or Unittest)
[] Tests / results supplied as part of this PR

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Reviewers

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[ciarmcom]

@pan-, thank you for your changes.
@ARMmbed/mbed-os-maintainers please review.