mqtt: fix logic when setting event

mqtt: fix logic when setting event

Especially sets transactions to complete when we get a response
without having seen the request, so that the transactions
end up getting cleaned (instead of living/leaking in the state).

Also try to set the event on the relevant transaction, instead
of creating a new transaction just for the purpose of having
the event.

Ticket: #6299
(cherry picked from commit 89936b6530690c6d03869b2ad8b82f9f84776f94)