recvfrom() is not a cancellation point in pthreads-win32, see
https://sourceware.org/pthreads-win32/manual/pthread_cancel.html

In order to be able to cancel the reader thread on Win32 properly we first
shutdown the socket then call CancelIoEx to abort pending IO. Subsequent
recvfrom() calls will fail with WSAESHUTDOWN causing the thread to exit.

Fixes ticket #5717.
Signed-off-by: Marton Balint <cus@passwd.hu>