relay: stop relay on subscribe error

In case an error occurs between relay_start() and cord_costart() in
relay_subscribe(), the relay status won't be reset to STOPPED. As a
result, any further attempt to re-subscribe will fail with ER_CFG:
duplicate connection with the same replica UUID. This may happen, for
example, if the WAL directory happens to be temporarily inaccessible on
the master.

Closes #4399

(cherry picked from commit 35ef3320)