bpo-43577: Fix deadlock with SSLContext._msg_callback and sni_callback (GH-24957)

OpenSSL copies the internal message callback from SSL_CTX->msg_callback to
SSL->msg_callback. SSL_set_SSL_CTX() does not update SSL->msg_callback
to use the callback value of the new context.

PySSL_set_context() now resets the callback and _PySSL_msg_callback()
resets thread state in error path.

Signed-off-by: Christian Heimes <christian@python.org>
diff --git a/Modules/_ssl.c b/Modules/_ssl.c
index bea144c..f3c3b20 100644
--- a/Modules/_ssl.c
+++ b/Modules/_ssl.c
@@ -2202,6 +2202,11 @@ static int PySSL_set_context(PySSLSocket *self, PyObject *value,
         Py_INCREF(value);
         Py_SETREF(self->ctx, (PySSLContext *)value);
         SSL_set_SSL_CTX(self->ssl, self->ctx->ctx);
+        /* Set SSL* internal msg_callback to state of new context's state */
+        SSL_set_msg_callback(
+            self->ssl,
+            self->ctx->msg_cb ? _PySSL_msg_callback : NULL
+        );
 #endif
     } else {
         PyErr_SetString(PyExc_TypeError, "The value must be a SSLContext");