thermal: core: fix some possible name leaks in error paths

In some error paths before device_register(), the names allocated
by dev_set_name() are not freed. Move dev_set_name() front to
device_register(), so the name can be freed while calling
put_device().

Fixes: 1dd7128b

 ("thermal/core: Fix null pointer dereference in thermal_release()")
Signed-off-by: Yang Yingliang <yangyingliang@huawei.com>
Signed-off-by: Rafael J. Wysocki <rafael.j.wysocki@intel.com>