Don't allow qpid receiving thread to die

Original-bug: #1189711

This patch is a partial backport of
22ec8ff616a799085239e3e529daeeefea6366c4 in oslo-incubator.

This patch ensures that the thread created by consume_in_thread() can
not be killed off by an unexpected exception.

Change-Id: I11fe95c6295583b8cbf44eec5bf1d94b87e5dc98