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Since it's a warning, I don't think you lost any data. I've seen many cases of warning and none of them had lost anything.
From microsoft support, it says it can be generated by a delay on the connection:
WSAEWOULDBLOCK 10035 Resource temporarily unavailable. This error is returned from operations on nonblocking sockets that cannot be completed immediately, for example recv when no data is queued to be read from the socket. It is a nonfatal error, and the operation should be retried later. It is normal for WSAEWOULDBLOCK to be reported as the result from calling connect on a nonblocking SOCK_STREAM socket, since some time must elapse for the connection to be established.
Hope it helps,