Fix some leaks

I've been running erlang-rocksdb with address sanitizer enabled on both the NIF code and librockdb itself. Luckily, it doesn't detect any memory access bugs, but it does several memory leaks. I've been able to fix two of the obvious leaks, but some where less obvious and all I could do document them.

I may open a PR to add an ASan build option to erocks' cmake if desired, but the general idea looks like this.