Analysis: For some reason actual thread handle is not
returned on Windows instead lpThreadId was returned and
thread handle was closed after thread create. Later
CloseHandle was called for recv_writer_thread_handle
and psort_info->thread_hdl.

Fix: Return thread handle from os_thread_create()
also on Windows and store these thread handles also
in srv0start.cc so that they can be later closed.

on work-amd64-valgrind.

Fixed issue by finding out first the current used priority
for both treads and using that seeing did we really change
the priority or not.