That particular part of slave connect to master was missing code to handle
retry in case of network errors. The same problem is present in MySQL 5.5, but
fixed in MySQL 5.6.

Fixed with this patch, by adding the code (mostly identical to MySQL 5.6), and
also adding a test case.

I checked other queries done towards master during slave connect, and they now
all seem to handle reconnect in case of network failures.