Tests in magicsock_test.go would routinely emit this warning:
## WARNING: (non-fatal) nil health.Tracker (being strict in CI):
because they would run NewConn without initializing a health.Tracker.
This patch initializes Conn correctly with a health.Tracker. It also
fixes some missing Close calls that can be handled in t.Cleanup.
Fixes#20263
Signed-off-by: Simon Law <sfllaw@tailscale.com>