thermal/core: Fix unregistering netlink at thermal init time

The thermal subsystem initialization miss an netlink unregistering
function in the error. Add it.

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