bgpd: Fix memory leak when creating BMP connection with a source interface

bgpd: Fix memory leak when creating BMP connection with a source interface

Testing done with:

```
for x in $(seq 1 100000); do vtysh -c 'conf' -c 'router bgp' -c 'bmp targets test' -c 'bmp connect localhost port 123 min-retry 100 max-retry 100 source-interface lo'; done
```

Signed-off-by: Donatas Abraitis <donatas@opensourcerouting.org>