Fix failure to honor -Z compression level option in pg_dump -Fd.

Fix failure to honor -Z compression level option in pg_dump -Fd.

cfopen() and cfopen_write() failed to pass the compression level through
to zlib, so that you always got the default compression level if you got
any at all.

In passing, also fix these and related functions so that the correct errno
is reliably returned on failure; the original coding supposes that free()
cannot change errno, which is untrue on at least some platforms.

Per bug #12779 from Christoph Berg.  Back-patch to 9.1 where the faulty
code was introduced.

Michael Paquier