SocketIo.use(function(socket, next)) - Where goes next, how to catch or receive it?

It goes to the client.

https://socket.io/docs/server-api/#socket-use-fn

Errors passed to middleware callbacks are sent as special error packets to clients.

io.on('connection', (socket) => {
  socket.use((packet, next) => {
    if (packet.doge === true) return next();
    next(new Error('Not a doge error'));
  });
});

Note that any middlewares following it aren't invoked.

On the client-side you can handle then like so:

socket.on('error', function(err){
    // do something with err
});