Windows socket code takes a long time to fail when connecting to a non-existent server

If you run the simple unit test executable on Linux when no server is running, it fails almost instantly. On Windows, it takes much longer for the executable to exit. This is because the first attempt to connect to the non-existent server returns error 10035 (WSAEWOULDBLOCK) which causes the code to wait for the socket to be ready which fails, and then the command is retried multiple times before it fails.

Trying to figure out how to detect that the socket is not listening or some other option on Windows.