Do not register it if keys are disabled. Do not leave it dangling if
thread creation fails.

No need to duplicate debug from net_Connect()...

p_finder is not visible to other threads at this point.

From the downloader thread, b_close is always true.

vlc_cancel() is not used, so this was a no-op.

b_error can only become true after the download thread is joined, after
which point it is never evaluated. So we can treat it as always false.