The stated reason for this commit was cancelation didn't work. On
further review, we know why cancelation didn't work, and recent
enhancements on master branch make it easy to make it work.

Meanwhile, not using overlapped means that multiple threads cannot use
the same open socket handle. I also added line comments to explain the
choice in this revert commit.

This reverts commit fd3657bf8c3a2861e1b35cf36d469d342d853880.

closes #31011
reopens #30865