Safer state handling in distributed transactions

Make sure we don't accidentally set our state to initialized when
an exception occurs.

Related to dotnet#73874.

src/libraries/System.Transactions.Local/src/System/Transactions/DtcProxyShim/DtcProxyShimFactory.cs

@@ -95,7 +95,6 @@ public void ConnectToProxy(
                 pImportWhereabouts.GetWhereabouts(whereaboutsSize, tmpWhereabouts, out uint pcbUsed);
                 Debug.Assert(pcbUsed == tmpWhereabouts.Length);
             });
-            whereabouts = tmpWhereabouts;
 
             // Now we need to create the internal resource manager.
             var rmFactory = (IResourceManagerFactory2)localDispenser;
@@ -117,6 +116,7 @@ public void ConnectToProxy(
 
             resourceManagerShim = rmShim;
             _transactionDispenser = localDispenser;
+            whereabouts = tmpWhereabouts;
         }
     }