Rationale:
Readability, SetSocketNonBlocking does what it says on the tin.
Consistency, More consistent with the rest of the API in this unit.
Reusability, SetSocketNonBlocking can also be used by clients that may not want to close the socket on failure.
This also moves the responsibility of closing the socket back to the caller that opened it, which in general should know better how and when to close it.