Allow whatever is performing the connection to pass migrate_fd_connect
an error to indicate there was a problem during connection, an allow
us to clean up.

The caller must free the error.

Signed-off-by: Dr. David Alan Gilbert <dgilbert@redhat.com>
Reviewed-by: Juan Quintela <quintela@redhat.com>
Signed-off-by: Juan Quintela <quintela@redhat.com>
Signed-off-by: Dr. David Alan Gilbert <dgilbert@redhat.com>