[3.11] gh-109370: Fix unexpected traceback output in test_concurrent_futures (GH-109780) (GH-109882)

Follow-up of gh-107219.

* Only close the connection writer on Windows.
* Also use existing constant _winapi.ERROR_OPERATION_ABORTED instead of
  WSA_OPERATION_ABORTED.
(cherry picked from commit 0b4e090422db5f959184353d53552d1675f74212)

Co-authored-by: Serhiy Storchaka <storchaka@gmail.com>