I bungled resolving a conflict while backpatching 2c0a4858 to 9.2, by
passing mark_done = true to ReceiveXlogStream in pg_receivexlog.c (all
the other branches are ok). Since pg_receivexlog doesn't use a archive
directory that causes 'could not create archive status file "...": No
such file or directory' errors.

Until 9.2.11 is released this can be worked around by creating
'archive_directory' in pg_receivexlog's target directory.

Found by Sergey Konoplev.