When failing to create the output file for saving an etag, only fail
that particular single transfer and allow others to follow.
In a serial transfer setup, if no transfer at all is done due to them
all being skipped because of this error, curl will output an error
message and return exit code 26.
Added test 369 and 370 to verify.
Reported-by: Earnestly on github
Ref: #7942Closes#7945
