Add test for proper handling of connection failure to avoid 'cannot wait on socket event without a socket' error (#8231)

## Problem

See https://github.com/neondatabase/cloud/issues/14289
and PR #8210 

## Summary of changes

Add test for problems fixed in #8210

## Checklist before requesting a review

- [ ] I have performed a self-review of my code.
- [ ] If it is a core feature, I have added thorough tests.
- [ ] Do we need to implement analytics? if so did you add the relevant
metrics to the dashboard?
- [ ] If this PR requires public announcement, mark it with
/release-notes label and add several sentences in this section.

## Checklist before merging

- [ ] Do not forget to reformat commit message to not include the above
checklist

---------

Co-authored-by: Konstantin Knizhnik <knizhnik@neon.tech>

pgxn/neon/libpagestore.c

@@ -427,11 +427,6 @@ pageserver_connect(shardno_t shard_no, int elevel)
 		values[n_pgsql_params] = NULL;
 
 		shard->conn = PQconnectStartParams(keywords, values, 1);
-		if (!shard->conn)
-		{
-			neon_shard_log(shard_no, elevel, "Failed to connect to pageserver: out of memory");
-			return false;
-		}
 		if (PQstatus(shard->conn) == CONNECTION_BAD)
 		{
 			char	   *msg = pchomp(PQerrorMessage(shard->conn));