WL#2738: Multi-source: Fix dump thd zombie problem

SUMMARY

Fix so that we can have a slave connected twice with same master.

PROBLEM

If we have one slave server having two named masters pointing to 
the same master server (to use two network cards), 
kill_zombie_dump_threads() will kill each other in turn.

SUGGESTED SOLUTION

1. The dump thread cleanup should be removed
2. We should make sure socket errors make the threads stop automatically