Teardown all internal components on exception

[carmocca]

What does this PR do?

When an exception is raised, we were only tearing down the data connector. But we should tear all internal components.

This is required for a follow-up where the data fetchers are moved to the loops.

Does your PR introduce any breaking changes? If yes, please list them.

None

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cc @Borda

[tchaton]

LGTM !