tests: socket: udp: Tighten up error checking

Add zassert's to check results of intermediate operations like
socket/bind/connect. Also, use symbolic expressions instead of
constants like 4 (for data length).

Coverity-Id: 182765, 182767
Fixes: #6104, #6106

Signed-off-by: Paul Sokolovsky <paul.sokolovsky@linaro.org>