netmgr: Don't crash if socket() returns an error in udpconnect

netmgr: Don't crash if socket() returns an error in udpconnect

socket() call can return an error - e.g. EMFILE, so we need to handle
this nicely and not crash.

Additionally wrap the socket() call inside a platform independent helper
function as the Socket data type on Windows is unsigned integer:

> This means, for example, that checking for errors when the socket and
> accept functions return should not be done by comparing the return
> value with –1, or seeing if the value is negative (both common and
> legal approaches in UNIX). Instead, an application should use the
> manifest constant INVALID_SOCKET as defined in the Winsock2.h header
> file.

(cherry picked from commit 8af7f81d6c1f974ac3305186ae34b9ce423525d0)