multi: multi_getsock(), check correct socket

multi: multi_getsock(), check correct socket

 - in phase CONNECTING/TUNNELING/PROTOCONNECT, retrieve
   the socket from the connection filters and do not rely
   on `conn->sockfd` being already set by the transfer.
 - this applies to the default behaviour, a protocol handler
   may override this via its callbacks.
 - add a warning message in multi_getsock() when the transfer
   is expected to have something in its pollset, but instead
   it is empty.

Reported-by: saurabhsingh-dev on github
Fixes #13998
Closes #14011