migration: Make migration_connect_set_error() own the error

migration: Make migration_connect_set_error() own the error

Make migration_connect_set_error() take ownership of the error always.
Paving way for making migrate_set_error() to take ownership.

When at it, renaming it to migration_connect_error_propagate(), following
Error API, to imply the Error object ownership transition.

NOTE: this patch also makes migration_connect() to take ownership of the
Error passed in.

Reviewed-by: Markus Armbruster <armbru@redhat.com>
Link: https://lore.kernel.org/r/20251201194510.1121221-5-peterx@redhat.com
Signed-off-by: Peter Xu <peterx@redhat.com>