[PR #10464/182198fc backport][3.12] Explicitly close the socket if there is a failure in start_connection() #9906

Job	Run time
Generate llhttp sources	5s
Linter	55s
Test (3.9, ubuntu, false)	3m 35s
Benchmark	4m 34s
Test (3.9, macos, false)	4m 38s
Test (3.9, windows, false)	4m 59s
Test (3.9, Y, ubuntu, false)	3m 24s
Test (3.10, ubuntu, false)	3m 41s
Test (3.10, macos, false)	2m 53s
Test (3.10, windows, false)	4m 17s
Test (3.10, Y, ubuntu, false)	3m 29s
Test (3.11, ubuntu, false)	3m 35s
Test (3.11, macos, false)	2m 44s
Test (3.11, windows, false)	4m 43s
Test (3.11, Y, ubuntu, false)	3m 8s
Test (3.12, ubuntu, false)	3m 57s
Test (3.12, macos, false)	3m 8s
Test (3.12, windows, false)	4m 45s
Test (3.12, Y, ubuntu, false)	3m 33s
Test (3.13, ubuntu, false)	3m 47s
Test (3.13, macos, false)	3m 19s
Test (3.13, windows, false)	5m 12s
Test (3.13, Y, ubuntu, false)	3m 24s
Test (pypy-3.9, Y, ubuntu, false)	7m 17s
check	4s
Pre-Deploy	0s
Build wheels on ${{ matrix.os }} ${{ matrix.qemu }} ${{ matrix.musl }}	0s
Tarball	0s
Deploy	0s
	1h 29m 6s

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