The COPY process isn't finished until PQgetCopyData() returns -1 so
we must consume all rows sent until we get -1. A single call should
in most cases do the trick but there are no guarantees so loop around
consumption until end-of-COPY is signalled. In case of error, break
out and continue operation to keep current flow, investigating the
error is probably warranted but handling cases that might fall out is
a bigger question that this isolated patch.

Also use PQfreemem() for the buffer per the manual. This is the same
as just free() on Linux/UNIX (while critically different on Windows)
but we might as well follow the set API to reduce confusion.

Original report by Coverity