HPCC-12180 Fix windows build break in mysqlembed

Must return a value, or alternatively throw the exception directly.

Signed-off-by: Anthony Fishbeck <anthony.fishbeck@lexisnexis.com>
Merge pull request #6419 from afishbeck/windowsBuild

HPCC-12180 Fix windows build break in mysqlembed

Reviewed-By: Richard Chapman <rchapman@hpccsystems.com>