Move ucxx::Endpoint close callback setter to constructor

[pentschev]

The ucxx::Endpoint::setCloseCallback() may be called at any time by the user. This can be unsafe and cause the close callback to be set while ucxx::Endpoint::errorCallback() is running or has already executed, and thus fail it to execute leaving the user close callback uncalled, which is going to be a difficult issue to identify when/if that occurs.