options: make --msglevel extend previous settings

Make it so --msglevel extends previous --msglevel uses, instead of
overwriting them. Do this by literally appending the --msglevel option
value to the previous one.
gl_lcms: actually acquire mutex

Prevents race conditions (which can happen only in theory anyway).
msg: add some comments about thread-safety
options: move network related options to MPOpts
stream: minor cookie cleanup

Avoid global state (reload cookie file every time), actually free
loaded cookies, use mp_get_user_path() for cookie file.
Don't include version.h from make options.c

I find this annoying. It's the reason common/version.c exists at all.

options.c did this for the user agent, which contains the version
number. Because not including version.h means you can't build the user
agent and use it in mp_default_opts anymore, do something rather awkward
in main.c to initialize the default user agent.