Handle exception when creating connection.

[yaakov-h]

Fixes #455.

@JustArchi Want to do a quick review, considering you raised the issue?

This doesn't prevent users from getting themselves into a toxic situation (e.g. setting ProtocolTypes to WebSocket-only on Windows 7) but does trigger a disconnected callback, same as when the connection fails for any other reason.

[JustArchi]

It's a good PR if all we want to do is raising OnDisconnected(). Since the issue itself is quite rare, I think this will be do just fine if we don't want to be trying to outsmart websockets themselves.

[JustArchi]

What I like the most in this is the fact that eventually bot will succeed to connect using TCP-based server when he's using not-only-websocket protocols, as CM list should be smart enough to push faulted server on the bottom. This works much better than current situation of stalled connection where you don't know what happened without taking a closer look - I think it's a good solution.