Client: Mux dispatcher thread is not stopped during disconnect

[gaborigloi]

This is probably not a big issue in practice, because when the dispatcher background thread tries to read the next message, it will just fail and then stop. This exception in the background thread probably will not be noticed by the application using the library.
But probably it's better in general to avoid exceptions happening during normal use cases, if possible.

The only possible issue that could happen is that if reads / writes don't fail soon, then these dispatcher background threads will keep accumulating as the client connects & disconnects to/from servers.