example, test_ssh2: shutdown socket before close

Syncing them with `tests/session_fixture.c`.

Cherry-picked from #1017

example/sftp_nonblock.c

@@ -284,6 +284,7 @@ shutdown:
     }
 
     if(sock != LIBSSH2_INVALID_SOCKET) {
+        shutdown(sock, 2);
 #ifdef WIN32
         closesocket(sock);
 #else