Close socket in case of errors in setting non-blocking

Close socket in case of errors in setting non-blocking

If configuring the newly created socket non-blocking fails we
error out and return INVALID_SOCKET, but the socket that had
been created wasn't closed. Fix by issuing closesocket in the
errorpath.

Backpatch to all supported branches.

Author: Ranier Vilela <ranier.vf@gmail.com>
Discussion: https://postgr.es/m/CAEudQApmU5CrKefH85VbNYE2y8H=-qqEJbg6RAPU65+vCe+89A@mail.gmail.com
Backpatch-through: v12