Many CI builds on Windows show warnings like this during CI runs, such as this one from the Appveyor CMake, mingw-w64, Debug x86, Schannel, Static build:

RUN: failed to start the HTTP-unix server
== Contents of files in the log/ dir after test 1435
=== Start of file http_unix_server.log
 06:39:33.828000 Error creating socket: (10047) Unknown error
 06:39:33.828000 ========> sws quits
=== End of file http_unix_server.log
test 1435 SKIPPED: failed starting HTTP-unix server

However, msys2 builds on Appveyor like autotools, msys2, Debug, no SSL run the test fine (I don't know if this is because msys2 does some kind of emulation for unix sockets that doesn't happen in native builds). Cirrus msys2 builds like Windows 64-bit shared/release Schannel/SSPI/WinIDN/libssh2 also show the failure. The failures have been happening for at least a couple of months on Appveyor. I don't know if those non-msys2 builds have ever worked.

Because the test server works around it by skipping the tests, it could have easily stopped working at some point without it being noticed.

According to this MS blog post Windows has supported AF_UNIX for more than 4 years, so I would expect this to be working on all Windows builds these days, assuming the CI services are using a modern-enough Windows.