Fix failure of --jobs with vacuumdb on Windows

Fix failure of --jobs with vacuumdb on Windows

FD_SETSIZE needs to be declared before winsock2.h, or it is possible to
run into buffer overflow issues when using --jobs.  This is similar to
pgbench's solution done in a23c641.

This has been introduced by 71d84ef, and older versions have been using
the default value of FD_SETSIZE, defined at 64.  While on it, add a
missing newline to the previously-added error message.

Per buildfarm member jacana, but this impacts all Windows animals
running the TAP tests.  I have reproduced the failure locally to check
the patch.

Author: Michael Paquier
Reviewed-by: Andrew Dunstan
Discussion: https://postgr.es/m/20190826054000.GE7005@paquier.xyz
Backpatch-through: 9.5