[3.0] compat: add missing errno on Winsock errors

Some of the error codes [1] correspond to errno values [2]

[1] https://docs.microsoft.com/en-us/windows/win32/winsock/windows-sockets-error-codes-2 [2] https://docs.microsoft.com/en-us/cpp/c-runtime-library/errno-constants

(cherry picked from commit ddcc2cdc)

Ref #28777