Add correlation_id to all exception captures

What does this MR do?

Add the correlation_id to the all the exception captures.

Related to: #677 (closed)

TODO

• I added the Changelog trailer (e.g. Changelog: added) to the commits that need to be included in the changelog
• I added unit tests or they are not required
• I added acceptance tests or they are not required
• I added documentation (or it's not required)
• I followed code review guidelines
• I followed Go Style guidelines