Join the thread to prevent leaking a running thread and leaking a
reference.

Cleanup also the test:

* asyncioWindowsProactorEventLoopPolicy became the default policy,
  there is no need to set it manually.
* Only start the thread once the loop is running.
* Use a shorter sleep in the thread (100 ms rather than 1 sec).
* Use close_loop(loop) rather than loop.close().
* Use longer variable names.