MINOR: connection: clear errno prior to checking for errors

MINOR: connection: clear errno prior to checking for errors

At some places, we report an error by just detecting FD_POLL_ERR.
The problem is that the caller never knows if it must use errno or
call getsockopt(SO_ERROR). And since this last one clears the
pending error from the queue, it cannot be used inconditionally.

An elegant solution consists in clearing errno prior to inspecting
FD_POLL_ERR. The caller then knows that if it gets CO_FL_ERROR and
errno == 0, it must call getsockopt().