Fix bug in on_load callback exception handling

[philippjfr]

No description provided.

[codecov]

Codecov Report

Merging #4007 (71e21bb) into master (6ae715d) will increase coverage by 0.00%.
The diff coverage is 100.00%.

@@           Coverage Diff           @@
##           master    #4007   +/-   ##
=======================================
  Coverage   83.66%   83.67%           
=======================================
  Files         223      223           
  Lines       33128    33128           
=======================================
+ Hits        27718    27719    +1     
+ Misses       5410     5409    -1     

Flag	Coverage Δ
ui-tests	37.58% <0.00%> (+<0.01%)	⬆️
unitexamples-tests	74.71% <100.00%> (+0.01%)	⬆️

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Impacted Files	Coverage Δ
panel/io/state.py	69.13% <100.00%> (ø)
panel/tests/util.py	89.32% <0.00%> (+0.97%)	⬆️

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