I started out with the goal of reporting ERRCODE_CONNECTION_FAILURE
when walrcv_connect() fails, but as I looked around I realized that
whoever wrote this code was of the opinion that errcodes are purely
optional.  That's not my understanding of our project policy.  Hence,
make sure that an errcode is provided in each ereport that (a) is
ERROR or higher level and (b) isn't arguably an internal logic error.
Also fix some very dubious existing errcode assignments.

While this is not per policy, it's also largely cosmetic, since few
of these cases could get reported to applications.  So I don't
feel a need to back-patch.

Discussion: https://postgr.es/m/2189704.1623512522@sss.pgh.pa.us