Summary:
It was misnamed. It actually updates `bg_error_` if `PreprocessWrite()` or `WriteToWAL()` fail, not related to the user callback.
Closes https://github.com/facebook/rocksdb/pull/3485

Differential Revision: D6955787

Pulled By: ajkr

fbshipit-source-id: bd7afc3fdb7a52830c021cbfc25fcbc3ab7d5e10