Non-blocking sockets can't work in worker threads without additional locking
as they generate events that can be dispatched from the main thread after the
socket object, created in the worker thread, is already destroyed, so don't
even attempt to use them if wxProtocol object is created from non-main thread.
Also simplify the code by removing the calls to SetFlags(), Notify() and
{Save,Restore}State() and simply put the socket from the beginning in
blocking, wait all mode that it needs to be in.
This, with the fixes in the previous commit, allows wxHTTP and wxFTP to work
from worker threads too.
Test using wxHTTP from a worker thread in the socket client sample.
Closes#17031.
d421373c2e