BUG/MINOR: connections: Make sure we free the connection on failure.

In connect_server(), make sure we properly free a newly created connection
if we somehow fail, and it has not yet been attached to a conn_stream, or
it would lead to a memory leak.
This should appease coverity for backend.c, as reported in inssue #556.

This should be backported to 2.1, 2.0 and 1.9
1 file changed