perf mem: Fill in the missing session freeing after an error occurs

When an error occurs an error value is just returned without freeing the
session. So allocating and freeing session have to be matched as a pair
even if an error occurs.

Signed-off-by: Taeung Song <treeze.taeung@gmail.com>
Acked-by: Jiri Olsa <jolsa@redhat.com>
Cc: Namhyung Kim <namhyung@kernel.org>
Link: http://lkml.kernel.org/r/1435752499-11752-1-git-send-email-treeze.taeung@gmail.com
Signed-off-by: Arnaldo Carvalho de Melo <acme@redhat.com>