Multiple instances of CAsyncSocket in same thread

I have a problem with multiple sockets in the same CWinThread derived
thread. Here is the issue.
1) Instantiate two CAsyncSocket derived instances which connect
immediately, and all is well.
2) Instantiate one CAsyncSocket derived instance which connects
immediately, and another which does not. I use a timer to monitor the
socket which is not connected, and then close the socket and delete
the instance if it does not connect within the timeout period. This
causes an exception in CAsyncSocket::DoCallBack (I've included a code
scrap). The ENSURE macro is the causing the exception because pSocket
= NULL.

void PASCAL CAsyncSocket::DoCallBack(WPARAM wParam, LPARAM lParam)
{
    if (wParam == 0 && lParam == 0)
        return;

    // Has the socket be closed - lookup in dead handle list
    CAsyncSocket* pSocket = CAsyncSocket::LookupHandle((SOCKET)wParam,
TRUE);

    // If yes ignore message
    if (pSocket != NULL)
        return;

    pSocket = CAsyncSocket::LookupHandle((SOCKET)wParam, FALSE);
    if (pSocket == NULL)
    {
        // Must be in the middle of an Accept call
        pSocket = CAsyncSocket::LookupHandle(INVALID_SOCKET, FALSE);
        ENSURE(pSocket != NULL);

        if(pSocket == NULL)
            return;

        pSocket->m_hSocket = (SOCKET)wParam;
        CAsyncSocket::DetachHandle(INVALID_SOCKET, FALSE);
        CAsyncSocket::AttachHandle(pSocket->m_hSocket, pSocket, FALSE);
    }

The problem only occurs if one socket connects and the other doesn't
and the time out causes the socket not connected to be closed and
deleted. Note: It is the closing of the socket that causes the
problem, not deleting the pointer to the instance of the socket.

I've also noticed that if I open a listening socket in the thread,
then create an instance of a socket that doesn't connect and the time
out causes it to be closed and delete will result in the same
exception.

Lastly, if I turn off the timer and do not overtly close and delete
the socket that is not connected, everything is fine.

While I appreciate that it is not great form to have lots of sockets
on the same thread (for lots of performance reasons), it should work.

Any explanation will be appreciated.

P.S. The article at Flounder.com "A Rewrite of KB192570: An MFC
Asynchronous Socket Example Done Right" has been invaluable, THANK
YOU! We've been using CSocket for years and have always been
concerned about that implementation, we are working on making the app
more robust.