The bug can happens on macOS, if server closes the socket without sending
error packet to client. Closing the socket on server side is legitimate,
and happen e.g when write timeout occurs, perhaps also other situations.

However mysqltest is not prepared to handle mysql_errno 0, and erroneously
thinks connection was successfully established.

The fix/workaround in mysqltest is to treat client failure with
mysql_errno 0 the same as CR_SERVER_LOST (generic client-side
communication error)

The real fix in client library would ensure that mysql_errno is set
on errors.