Refactor relayd main/set_options/cleanup

Refactor relayd main/set_options/cleanup

- Enforce symmetry between allocation and teardown,
- Handle all errors,
- Return all errors as EXIT_FAILURE,
- Standardize on zero being success, nonzero being error,
  (rather than < 0 being error),
- Fix pthread PERROR: we need to store ret into errno before
  calling PERROR, since pthread API does not set errno,
- Join errors now fall-through, rather than rely on the OS
  to teardown the rest.

Signed-off-by: Mathieu Desnoyers <mathieu.desnoyers@efficios.com>
Signed-off-by: Jérémie Galarneau <jeremie.galarneau@efficios.com>