url: change conn shutdown order to unlink data as last step

- Split off connection shutdown procedure from Curl_disconnect into new
  function conn_shutdown.

- Change the shutdown procedure to close the sockets before
  disassociating the transfer.

Prior to this change the sockets were closed after disassociating the
transfer so SOCKETFUNCTION wasn't called since the transfer was already
disassociated. That likely came about from recent work started in
Jan 2019 (#3442) to separate transfers from connections.

Bug: https://curl.haxx.se/mail/lib-2019-02/0101.html
Reported-by: Pavel Löbl

Closes https://github.com/curl/curl/issues/3597
Closes https://github.com/curl/curl/pull/3598