ThreadedWebsocketManager - Does not throw error when websocket fails to connect #1571

Describe the bug
If ThreadedWebsocketManager fails to connect, due to a network or forbidden error for example, no error is returned to the user.

To Reproduce

• Connect to a VPN in the US or disconnect from network
• Connect using a ThreadedWebsocketManager
• call a socket

     twm = ThreadedWebsocketManager(api_key, api_secret, https_proxy=proxy)

    symbol = "BTCUSDT"

    twm.start()

    twm.start_kline_socket(callback=handle_socket_message, symbol=symbol)

Expected behavior
There should be a way for the user to know if there is a connection error. I believe returning a message to the callback as an error is probably best