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

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

(cherry picked from commit c0caac2cc8f51c5802f0128a4ceb0c73ff601ead)
[wt: minor ctx adjustment]
Signed-off-by: Willy Tarreau <w@1wt.eu>