mtest: clean up asyncio event loop instantiation

Fix a TODO comment about moving to asyncio.run, now that we use
sufficiently new python to do it.

Note that we create an event loop for Windows using the new python
defaults, but in a completely different part of the code from where we
need to use it. Since asyncio.run creates the loop on its own, we need
to set the default policy instead -- which we probably should have done
all along.

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