net: lib: zperf: Fix socket leak during socket setup

During socket setup, if one of the setsockopt() calls failed, the
function would return an error w/o closing the socket. That's wrong, as
in case of errors the function should clean up any resources it
allocated, the socket file descriptor is lost otherwise and resources
are leaked.

Signed-off-by: Robert Lubos <robert.lubos@nordicsemi.no>