Fix socket leaks in wxFTP if starting up/downloading fails.

Add the missing delete statements.

Closes #2250.

git-svn-id: https://svn.wxwidgets.org/svn/wx/wxWidgets/branches/WX_3_0_BRANCH@76904 c3d73ce0-8a6f-49c7-b76d-6d57e0e08775