MINOR: checks: fix recv polling after connect()

MINOR: checks: fix recv polling after connect()

Commit a522f801 moved a call to __conn_data_want_recv() just after the
connect() call, which is not 100% correct. First, it does not take errors
into account, eventhough this is harmless. Second, this change will only
be taken into account after next call do conn_data_polling_update(), which
is not necessarily what is expected (eg: if an error is only reported on
the recv side).

So let's use conn_data_poll_recv() instead, which directly subscribes
the event to polling.