Add connect() return value checks in `rtpstream_process_task_flags`.

Rob Day wrote:
> Not quite sure about this change - it might be worth checking the
> return code and raising a warning if it fails.

Now a bunch of debugprint() statements accompany the closing of the
sockets if the connect() fails. Note that I generally obey local code
style, but here I couldn't. The space bar is large, use it.