We set up fetch filters (VFPs) before initializing a storage object to
fetch into. If that fails, we close the filters again.

The esi_gzip VFP interacts with the storage object and was missing
error handling for the case of a teardown with no storage object.

Implementation:

We make sure that for the VFP_ERROR case, we do not interact with the
storage object (which makes no sense if that is going to be C-4'ed any
moment).

vfp_vep_callback() keeps its hands off if (struct vef_priv).error is
set, so we use that to avoid complications in the code.