The error exits added to initialize_SSL() failed to clean up the
partially-built SSL_context, and some of them also leaked the
result of SSLerrmessage().  Make them match other error-handling
cases in that function.

The error exits added to connectOptions2() failed to set conn->status
like every other error exit in that function.

In passing, make the SSL_get_peer_certificate() error exit look more
like all the other calls of SSLerrmessage().

Oversights in commit ff8ca5fa.  Coverity whined about leakage of the
SSLerrmessage() results; I noted the rest in manual code review.