The problem was, msgq started to open more file descriptors than before.
Also, the changes meant the tests didn't shut down their internal copy
of msgq properly, leaking more file descriptors.

* Do the shutdown correctly.
* Wait for msgq to terminate, so there are no race conditions between
  the old (shutting down one) and a new one for another test.
* Close all the data sockets in msgq, to prevent further leaks. The
  other ends probably still leak, but at least the threads on the other
  ends terminate on EOF, so we don't leak the threads too.
* Wait for the other threads too, so we don't spawn too many threads.
* Unrelated cleanup: remove unneeded output-suppression workaround from
  the tests, it is no longer needed.
* Unrelated cleanup: Initialize testing logger for the tests. But it
  still logs for no apparent reason, needs to be examined.