I believe your understanding of the connection is correct. One of three things should happen

OnConnect event handler should fire
OnIOError event handler should fire
Nothing should happen and somehow you would ned to do a "no response" detection. Since you are running in a loop as a finite state machine and have a tcpip busy state (I assume it is busy when you initiate a connection) you can just count loop cycles to see if you should invoke "connection attempt timeout processing". I prefer that to another timer and its associated code, but either method should provide recovery. That is basically what I do for all TCPIP work on the Pronto.