As a bdrv_create() method, sd_create() must set an error and return
negative errno on failure. It prints the error instead of setting it
when connect_to_sdog() fails. Fix that.
While there, return the value of connect_to_sdog() like we do
elsewhere, instead of -EIO. No functional change, as
connect_to_sdog() returns no other error code.
Many more suspicious uses of error_report() and error_report_err()
remain in other functions. Left for another day.