[4/5] ws2_32/tests: Improve setup_connector_socket to allow non-blocking connect calls

[Marvin]

Hi,

While running your changed tests on Windows, I think I found new failures.
Being a bot and all I'm not very good at pattern recognition, so I might be
wrong, but could you please double-check?
Full results can be found at
https://testbot.winehq.org/JobDetails.pl?Key=11986

Your paranoid android.


=== wxppro (32 bit sock) ===
sock.c:613: Test failed: oob_server (c54): unexpectedly at the OOB mark: 0