perf session: Remove one more exit() call from library code

Return NULL instead and make the caller propagate the error.

LKML-Reference: <new-submission>
Cc: Frédéric Weisbecker <fweisbec@gmail.com>
Cc: Mike Galbraith <efault@gmx.de>
Cc: Peter Zijlstra <a.p.zijlstra@chello.nl>
Cc: Paul Mackerras <paulus@samba.org>
Signed-off-by: Arnaldo Carvalho de Melo <acme@redhat.com>