thermal: helpers: Rearrange thermal_cdev_set_cur_state()

Change the code layout in thermal_cdev_set_cur_state() so it returns
early on errors which is more consistent with what happens elsewhere.

No intentional functional impact.

Signed-off-by: Rafael J. Wysocki <rafael.j.wysocki@intel.com>
Reviewed-by: Daniel Lezcano <daniel.lezcano@linaro.org>