[lldb] Remove more redundant SetStatus(eReturnStatusFailed)

Mostly by converting uses of GetErrorStream to AppendError,
so that the call to SetStatus is implicit.

Some remain where it isn't certain that you'll have a message
to set, or you want the output to be on stdout.

One place in CommandObjectWatchpoint previously didn't set
the status to failed at all. However it's pretty obvious
that it should do so.

Reviewed By: teemperor

Differential Revision: https://reviews.llvm.org/D104697