Correctly handle future exceptions on threads

[philippjfr]

Fixes #3974

[codecov]

Codecov Report

Merging #3977 (23b0f80) into master (08e436b) will decrease coverage by 0.00%.
The diff coverage is 66.66%.

@@            Coverage Diff             @@
##           master    #3977      +/-   ##
==========================================
- Coverage   83.71%   83.70%   -0.01%     
==========================================
  Files         223      223              
  Lines       33008    33010       +2     
==========================================
- Hits        27631    27630       -1     
- Misses       5377     5380       +3     

Flag	Coverage Δ
ui-tests	37.28% <20.00%> (-0.01%)	⬇️
unitexamples-tests	74.88% <66.66%> (-0.01%)	⬇️

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Impacted Files	Coverage Δ
panel/reactive.py	78.09% <50.00%> (ø)
panel/io/state.py	69.58% <66.66%> (-0.31%)	⬇️
panel/io/callbacks.py	79.25% <100.00%> (+0.15%)	⬆️
panel/tests/util.py	88.34% <0.00%> (-0.98%)	⬇️

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