test_routerkeys: Coverity says, always check mkdir return values.

There's a new coverity warning about checking the return values from mkdir() in test_routerkeys.c. That's odd, since we've had this code since 0.2.7.2-alpha. But we may as well check it. This is CID 1444254.

I say this is not a backport candidate, since it only affects the tests.