We need to call mqtt_shutdown() instead of mqtt_close() to have the mosquitto
(loop) thread stopped.

Upon connect failure, call the mqtt_shutdown() *before* calling lprintf->lputs,
which would eventually try to MQTT-publish the log message.

The call to mqtt_connect() can block for a while, so raise the log severity
of the "connecting to broker" message from DEBUG to INFO. Otherwise, a bad
MQTT broker address or port would make the servers just appear to hang during
initialization, for no reason.