migration: Make failed migration load set file error

If an error occurs in a section load, set the file error flag
so that the transport can get notified to do a cleanup.

Signed-off-by: Dr. David Alan Gilbert <dgilbert@redhat.com>
Reviewed-by: Michael R. Hines <michael@hinespot.com>
Reviewed-by: Juan Quintela <quintela@redhat.com>
Signed-off-by: Juan Quintela <quintela@redhat.com>