Log an error when connect() fails in the NAT mode relay

[Blue (OneBlue)]

Summary of the Pull Request

We've seen a couple test failure where the NAT relay fails to connect. This change adds logging with more information to help us root cause this issue.

PR Checklist

• Closes: Link to issue #xxx
• Communication: I've discussed this with core contributors already. If work hasn't been agreed, this work might be rejected
• Tests: Added/updated if needed and all pass
• Localization: All end user facing strings can be localized
• Dev docs: Added/updated if needed
• Documentation updated: If checked, please file a pull request on our docs repo and link it here: #xxx

Detailed Description of the Pull Request / Additional comments

Validation Steps Performed

[Copilot]

Pull request overview

This PR adds diagnostic logging to the Linux-side localhost/NAT relay path to capture additional context when a TCP connect() attempt fails, helping root-cause intermittent test failures where the relay cannot connect to the requested loopback port.

Changes:

• Log an explicit error when connect() fails while establishing the relay TCP connection.
• Include the requested port, socket family, and errno in the log message for troubleshooting.