callbacks: acknowledge progress callback error returns

When the progress callback is called during the TCP connection, an error
return would accidentally not abort the operation as intended but would
instead be counted as a failure to connect to that particular IP and
libcurl would just continue to try the next. I made singleipconnect()
and trynextip() return CURLcode properly.

Added bonus: it corrected the error code for bad --interface usages,
like tested in test 1084 and test 1085.

Reported by: Adam Light
Bug: http://curl.haxx.se/mail/lib-2010-08/0105.html

tests/data/test1084

@@ -35,7 +35,7 @@ http://%HOSTIP:%HTTPPORT/1084 --interface non-existing-host.haxx.se.
 # Verify data after the test has been "shot"
 <verify>
 <errorcode>
-7
+45
 </errorcode>
 </verify>
 </testcase>