Perform final cleanup in a bottom half, and add joining the thread to
the series of cleanup actions.

migrate_fd_error remains for connection error, but it doesn't need
to cleanup anything anymore.
Reviewed-by: NOrit Wasserman <owasserm@redhat.com>
Reviewed-by: NJuan Quintela <quintela@redhat.com>
Signed-off-by: NPaolo Bonzini <pbonzini@redhat.com>
Signed-off-by: NJuan Quintela <quintela@redhat.com>