Handle session and websocket close cleanly

[philippjfr]

Fixes #3341

[codecov]

Codecov Report

Merging #3769 (89d7c95) into master (4f8ab43) will decrease coverage by 0.00%.
The diff coverage is 65.21%.

@@            Coverage Diff             @@
##           master    #3769      +/-   ##
==========================================
- Coverage   83.57%   83.57%   -0.01%     
==========================================
  Files         214      214              
  Lines       31348    31364      +16     
==========================================
+ Hits        26198    26211      +13     
- Misses       5150     5153       +3     

Flag	Coverage Δ
ui-tests	33.86% <17.39%> (-0.01%)	⬇️
unitexamples-tests	76.46% <65.21%> (+<0.01%)	⬆️

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Impacted Files	Coverage Δ
panel/io/document.py	66.37% <57.14%> (+1.24%)	⬆️
panel/io/server.py	76.59% <77.77%> (+0.02%)	⬆️

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