Give objname on build error

On certain failures, `create-diff-object` reports the symbol name but if it's a static local variable, there's no other indication of where the problem is at. This makes finding the issue on larger patches a problem. This commit prepends the current `objname` to the `ERROR` output, just like it does for `DIFF_FATAL`.

Additionally, send all error output from these macros to `STDERR`, since that's where output from `error` goes.