Stop exporting messages if the client goes away

If the client disconnects during a large message export, we currently continue fetching and processing all the messages even though there's nobody listening for them.
No. We don't care what the exception is (it's actually an `HttpTimeoutError` because of how we handle the timeouts), we just want to stop it from breaking the test. The thing we're testing here is that the server stops doing work when the connection goes away.

I'll add a comment.