Description:
------------
The test was originally written for blocking client. I was trying to test
execute the same test for nonblocking client. That's when it was found to be
misbehaving on Windows. That's why The test was disabled for async client
earlier.

(1) It turns out that on Windows platform, by default, MTR uses PIPE connection
    to connect mysql_test client to the server. The nonblocking client APIs are
    supposed to work with TCP/SSL connections. Therefore, unless we specify
    the connection type to TCP/SSL in test, it may fails Windows.

(2) That means we must use connect() command to specify the connection type
    as TCP or SSL in the test. Also, we must not execute the tests on Windows
    with --async-client option
    (Bug#31068788 has been raised to remove this option).

(3) Even if someone executes the nonblocking client tests with connection type
    PIPE or Shared Memory. Test should throw error rather getting crashed.

Fix:
----
(1) Enabled the tests for nonblocking clients which were disabled earlier.
    Used connection type TCP to verify them.

(2) Crash used to happen because we missed to initialise the "set_blocking_flag"
    function pointer in the vio structure for PIPE|Shared Memory connections.

(3) After the crash, test fails without any concrete error. Leaving the user
    in guess mode. We now print the last error message if select API fails.

Not directly related : Returning error and printing the DBUG message in case
if someone tries to set the nonblocking flag other than supported connection
type.

Testing:
-------

Enabled the tests. verified on Windows platform.

Review:
------
RB#24165