Add missing check for nl_socket_alloc failure

Add missing check for nl_socket_alloc failure

This can happen if the memory alloc fails.

Patch V2: add goto error
Patch V3: return -ENOMEM instead of going to error

Change-Id: Iee66caa794d267ac5f8bee584633352893047171
Signed-off-by: Arne Schwabe <arne@rfc2549.org>
Acked-by: Antonio Quartulli <antonio@openvpn.net>
Message-Id: <20231121170603.886801-1-arne@rfc2549.org>
URL: https://www.mail-archive.com/openvpn-devel@lists.sourceforge.net/msg27541.html
Signed-off-by: Gert Doering <gert@greenie.muc.de>