A few places calling fwrite and gzwrite were not setting errno to ENOSPC
when reporting errors, as is customary; this led to some failures being
reported as
"could not write file: Success"
which makes us look silly.  Make a few of these places in pg_dump and
pg_basebackup use our customary pattern.

Backpatch-to: 9.5
Author: Justin Pryzby <pryzby@telsasoft.com>
Author: Tom Lane <tgl@sss.pgh.pa.us>
Author: Álvaro Herrera <alvherre@alvh.no-ip.org>
Discussion: https://postgr.es/m/20200611153753.GU14879@telsasoft.com