15-test_out_option: Refactor and don't test directory write on VMS

To my surprise, it turns out that on OpenVMS, opening './' (which
is translated to '[]') for writing actually creates a file, '[].'.
On OpenVMS, this is a perfectly valid file with no name or extension,
just the delimiter between the two.

Because of the mess the exception would generate in the test recipe,
it gets refactored again, to clearly separate each test inside it,
and use skips to avoid some of them (that makes it clear that they are
skipped and why, when running the recipe).

Reviewed-by: Andy Polyakov <appro@openssl.org>
(Merged from https://github.com/openssl/openssl/pull/6100)