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[bug] proxy: close the connection with right method.
What type of PR is this?
- [ ] API-change
- [x] BUG
- [ ] Improvement
- [ ] Documentation
- [ ] Feature
- [ ] Test and CI
- [ ] Code Refactoring
Which issue(s) this PR fixes:
issue https://github.com/matrixorigin/MO-Cloud/issues/4231
What this PR does / why we need it:
close the connection with right method if there are some errors.