Fix relayd: session leaked on communication error during creation

A relay_session object can be leaked if the relay daemon fails
to reply to the RELAYD_CREATE_SESSION command.

Since the relay daemon's peer can't know the session's id, the
session will never be referenced in the future. Moreover, the
session will never be tied to the connection(s) in order to bound
its lifetime.

Signed-off-by: Jérémie Galarneau <jeremie.galarneau@efficios.com>