refactor: connect-first stream lifecycle for sse and streamable_http

[maxisbey]

Follow-up to #2266 — applies the websocket_client pattern to the other two client transports.

What changed

Instead of creating memory streams up front and cleaning them up in a try/finally, the transports now:

1. Connect first — httpx_client_factory / aconnect_sse / AsyncExitStack become the outer scopes
2. Create streams only after the connection succeeds — if aconnect_sse() raises ConnectError, no streams were ever created, nothing to clean up
3. Own all four stream ends + task group in one merged async with as the innermost scope — closes everything in reverse order on exit, task group waits for cancelled tasks before any stream end closes

Drops the try/finally wrapper and four explicit aclose() calls from each file. Net −6 lines.

Why the previous attempt was reverted

Commit history in #2266: 1e83583 tried replacing try: with async with streams: at the same nesting position, leaving httpx_client_factory and aconnect_sse nested inside it. On Python 3.14, that triggered phantom branch arcs on the inner async with lines — each context manager's __aexit__ compiles to a POP_JUMP_IF_TRUE ("did it suppress the exception?") that gets misattributed through 3.14's exception table. d297fcf reverted to try/finally.

This PR inverts the nesting instead. Verified empirically across 3.11/3.13/3.14:

Structure	3.11	3.13	3.14
1 outer async with + multi-CM innermost (websocket, streamable_http)	✅	✅	✅
2 outer async with + multi-CM innermost (sse)	✅	✅	1 phantom on the multi-CM line
same + # pragma: no branch on that line	✅	✅	✅

streamable_http has only one outer layer (AsyncExitStack) → clean on all versions, zero pragmas. sse has two unavoidable outer layers (httpx_client_factory feeds client into aconnect_sse — data dependency, can't merge into one line) → one documented pragma on the async with (streams, tg) line, which is the line we own.

Behavior change

sse_client's ConnectError is no longer wrapped in an ExceptionGroup — the task group is never entered when the connection fails, so there's nothing to group. Updated test_sse_client_closes_all_streams_on_connection_error to expect a bare httpx.ConnectError.

_{AI Disclaimer}

[Kludex]

Suggested change

	async with aconnect_sse(
	client,
	"GET",
	url,
	) as event_source:
	async with aconnect_sse(client, "GET", url) as event_source:

[Kludex]

Is this still neecessary?