gsocket: Improve default UDP behavior on Windows

An ICMP port unreachable will result in a socket error, which is a really bad default for UDP sockets.

This is an old patch by Pascal Bühler (at Cisco) which I meant to submit way back. It offers an alternative to 43b13d7a, where instead of ignoring errors we can tweak the default UDP socket behavior to match the default one on UNIX OSes.

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