migration/rdma: Use error_report() & friends instead of stderr

error_report() obeys -msg, reports the current error location if any,
and reports to the current monitor if any.  Reporting to stderr
directly with fprintf() or perror() is wrong, because it loses all
this.

Fix the offenders.  Bonus: resolves a FIXME about problematic use of
errno.

Signed-off-by: Markus Armbruster <armbru@redhat.com>
Reviewed-by: Juan Quintela <quintela@redhat.com>
Signed-off-by: Juan Quintela <quintela@redhat.com>
Message-ID: <20230928132019.2544702-53-armbru@redhat.com>