replication: do not delete relay on applier disconnect

This is a part of more complex task aiming to improve logging.
Do not destroy relay since it stores last error and it can be
useful for diagnostic reason.
Now relay is created with replica and always exists. So also
remove several NULL checks.
Add relay_state { OFF, FOLLOW and STOPPED } to track replica
presence, once connected it either FOLLOW or STOPPED until
master is reset.
Updated with @kostja proposal.

Used for #3365.