mptcp: set error messages for set_flags

In addition to returning the error value, this patch also sets an error
messages with GENL_SET_ERR_MSG or NL_SET_ERR_MSG_ATTR both for pm_netlink.c
and pm_userspace.c. It will help the userspace to identify the issue.

Signed-off-by: Geliang Tang <tanggeliang@kylinos.cn>
Reviewed-by: Matthieu Baerts (NGI0) <matttbe@kernel.org>
Signed-off-by: Matthieu Baerts (NGI0) <matttbe@kernel.org>
Link: https://lore.kernel.org/r/20240305-upstream-net-next-20240304-mptcp-misc-cleanup-v1-3-c436ba5e569b@kernel.org


Signed-off-by: Jakub Kicinski <kuba@kernel.org>