Add more error messages for unexpected situations

Some error messages were logged at INFO level and some had conditions that
prevent the logging. Removed these restrictions that an error situation is
always logged.

server/modules/protocol/mysql_backend.c

@@ -1368,6 +1368,12 @@ static int gw_error_backend_event(DCB *dcb)
     CHK_SESSION(session);
     if (SESSION_STATE_DUMMY == session->state)
     {
+        if (dcb->persistentstart == 0)
+        {
+            /** Not a persistent connection, something is wrong. */
+            MXS_ERROR("EPOLLERR event on a non-persistent DCB with no session. "
+                      "Closing connection.");
+        }
         dcb_close(dcb);
         return 1;
     }