and
bug#33932  assertion at handle_slave_sql if init_slave_thread() fails

the asserts were caused by 
  bug33931: having thd deleted at time of executing err: code plus
            a missed initialization;
  bug33932: initialization of slave_is_running member was missed;

fixed with relocating mi members initialization and removing delete thd
It is safe to do as deletion happens later explicitly in the caller of
init_slave_thread().

Todo: at merging the test is better to be moved into suite/bugs for 5.x (when x>0).