Move setsockopt TCP_NODELAY to when TCP is connected.

On windows platform, TCP_NODELAY can only be set when TCP
is established.  If the conection is not immediately returning
success, call it when state is changed from TCP_CONNECTING
to SSL_CONNECTING.

Signed-off-by: Linda Sun <lsun@vmware.com>
Signed-off-by: Ben Pfaff <blp@nicira.com>