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Before this PR
This PR is complete garbage, implementation wise, but is a conversation starter.
What if our leaf futures started a context (that has a single useful method #failureCallback) which allows us to add callbacks that should run, should the future fail in any way. The leaf future that returns the Response from the network layer, simply add the Response#close as a callback to the future it returns.
Then all transformation futures (transform/transformAsync/catchingAll) simply need to share this context and propagate it up the chain. If any future fails, we close the context. Closing the context means all the callbacks get run, and forgotten (you can't run #close multiple times).
Subtleties:
To make this more specific, we could instead have DialogueResponseFuture, so this is only tied to responses, and not e.g. closing timers or any other stuff.