net/mlx5: Fix memory leak in mlx5_events_init

Fix memory leak in mlx5_events_init(), in case
create_single_thread_workqueue() fails, events
struct should be freed.

Fixes: 5d3c537f ("net/mlx5: Handle event of power detection in the PCIE slot")
Signed-off-by: Moshe Shemesh <moshe@mellanox.com>
Reviewed-by: Tariq Toukan <tariqt@mellanox.com>
Signed-off-by: Saeed Mahameed <saeedm@mellanox.com>