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Ist aber dokumentiert.
FD_CONNECT:
After connect, WSAConnect, or WSAJoinLeaf was called with a nonblocking, connection-oriented socket. The initial operation returned with a specific error of WSAEWOULDBLOCK, but the network operation went ahead. Whether the operation eventually succeeds or not, when the outcome has been determined, FD_CONNECT happens. The client should check the error code to determine whether the outcome was successful or failed.