wlan: Invalid error handling if watchdog thread creation fails

Currently if watchdog thread creation fails, it tries to close
watchdog. Watchdog close api will wait for watchdog shutdown completion
event which is not initialized yet.

To prevent this do not close watchdog if it not initialized.

Change-Id: I656f3f5a13368abb57020cb90dcf98ca0e1a5a39
CRs-Fixed: 2039337
diff --git a/CORE/HDD/src/wlan_hdd_main.c b/CORE/HDD/src/wlan_hdd_main.c
index 0a38c05..cf9cf6a 100644
--- a/CORE/HDD/src/wlan_hdd_main.c
+++ b/CORE/HDD/src/wlan_hdd_main.c
@@ -12010,7 +12010,7 @@
       if(!VOS_IS_STATUS_SUCCESS( status ))
       {
          hddLog(VOS_TRACE_LEVEL_FATAL,"%s: vos_watchdog_open failed",__func__);
-         goto err_wdclose;
+         goto err_config;
       }
    }