Error propagation is already there for socket backends.  Add it to other
protocols, simplifying code that tests for errors that will never happen.
With all protocols understanding Error, the code can be simplified
further by removing the return value.

Unfortunately, the quality of error messages varies depending
on where the error is detected, because no Error is passed to the
NonBlockingConnectHandler.  Thus, the exact error message still cannot
be sent to the user if the OS reports it asynchronously via SO_ERROR.
If NonBlockingConnectHandler received an Error**, we could for
example report the error class and/or message via a new field of the
query-migration command even if it is reported asynchronously.

Before:

    (qemu) migrate fd:ffff
    migrate: An undefined error has occurred
    (qemu) info migrate
    (qemu)

After:

    (qemu) migrate fd:ffff
    migrate: File descriptor named 'ffff' has not been found
    (qemu) info migrate
    capabilities: xbzrle: off
    Migration status: failed
    total time: 0 milliseconds

Signed-off-by: Paolo Bonzini <pbonzini@redhat.com>