MDEV-11348 LOAD DATA LOCAL INFILE crashes the server on loading a backslash followed by a multi-byte character

The crash happened when if my_error() was called for any reasons during loading
(e.g. a bad multi-byte sequence or a bad GEOMETRY value was found).
The server sent both error and progress packets, so the client disconnected.
The server then crashed on a assert about a wrong packet order in Debug build.
The server also tried to read from a closed socket when calling
READ_INFO::skip_data_till_eof().

As the crash happened only with "mysql" running in interactive mode,
no tests are possible. The problem was not reproducible with
"mysqltest" or "mysql" in batch mode.