rpc: Make sure conn object is always cleaned up

Make sure conn object always gets cleaned up by using a
`boost::shared_ptr`.

This makes valgrind happy - before this commit, one connection object
always leaked at shutdown, as well as can avoid other leaks, when
for example an exception happens.

Also add an explicit Close() to the !ClientAllowed path to make it similar
to the normal path (I'm not sure whether it is needed, but it
can't hurt).