Fix: change perror to debug statement

Most of the changes here remove a double PERROR which is done by the
transport layer. So we notify in the debug message to understand where
the transport error was.

Also, don't print an error if the relayd is not found. This is possible
if the relayd dies so an error here is useless to the common user but
useful as a debug statement.

Signed-off-by: David Goulet <dgoulet@efficios.com>