bpo-33769: start_tls: Fix error message; cancel callbacks on error (GH-7403)

In addition to that, mark SSLTransport as "closed" in its "abort()" method to prevent bogus warnings.
diff --git a/Lib/asyncio/sslproto.py b/Lib/asyncio/sslproto.py
index 8515ec5..fac2ae7 100644
--- a/Lib/asyncio/sslproto.py
+++ b/Lib/asyncio/sslproto.py
@@ -399,6 +399,7 @@
         called with None as its argument.
         """
         self._ssl_protocol._abort()
+        self._closed = True
 
 
 class SSLProtocol(protocols.Protocol):