Improve error handling

[emontnemery]

Proposed change

Improve error handling of MQTT WS command to remove device.

Type of change

• Dependency upgrade
• Bugfix (non-breaking change which fixes an issue)
• New integration (thank you!)
• New feature (which adds functionality to an existing integration)
• Breaking change (fix/feature causing existing functionality to break)
• Code quality improvements to existing code or addition of tests

Checklist

• The code change is tested and works locally.
• Local tests pass. Your PR cannot be merged unless tests pass
• There is no commented out code in this PR.
• I have followed the development checklist
• The code has been formatted using Black (black --fast homeassistant tests)
• Tests have been added to verify that the new code works.

The integration reached or maintains the following Integration Quality Scale:

• No score or internal
• 🥈 Silver
• 🥇 Gold
• 🏆 Platinum

[probot-home-assistant]

Hey there @home-assistant/core, mind taking a look at this pull request as its been labeled with a integration (mqtt) you are listed as a codeowner for? Thanks!