This was caused by the short_option_1-master.opt file that had the
option -T12, which means (among other things) to use blocking for
sockets.  This was supported up to MariaDB 10.4, but not in 10.5 where
we removed the code that changes blocking sockets to non blocking in
case of errors.

Fixed by ignoring the TEST_BLOCKING flag and also by not using the -T12
argument in short_option_1.

Other things:
- Added back support for valgrind (the original issue had nothing to
  do with valgrind).
- While debugging I noticed that the retry loop in
  handle_connections_sockets() was doing a lot of work during shutdown.
  Fixed by not doing retrys during shutdown.