[azeventhubs, v1+v2] Missing a consumer.Delete() call when we a checkpoint is invalid

[richardpark-msft]

As pointed out here (#24933), we were missing a call to consumers.Delete if we fail to init on a checkpoint (this is purely an in-memory operation). This leaves open a possibility that a consumer that can never work will block us from creating one that could, at a later time.

It's a small window of failure, but we should fix it.

This will need to be fixed in both v1 and v2.