Rocksdb state directory should be created before opening the DB

After enabling rocksDB logging, We continually see these errors in kafka stream logs, everytime a new window segment is created
```
Error when reading <rocksdb-directory-path>
```
While its not a problem in itself, since rocksDB internally will create the directory but It will do so only after logging the above error. It would avoid unnecessary logging if the segment directory can be created in advance. Right now, only the parent directories are created for a rocksDB segment. Logging is more prominent when there are many partitions and segment size is smaller (minute or two).