mcp: fix several goroutine leaks in tests (#494)

Fix some (but not all) goroutine leaks in tests. Others were nontrivial,
because they relate to streamable http.

For #489.

mcp/server_example_test.go

@@ -55,6 +55,7 @@ func Example_prompts() {
 	if err != nil {
 		log.Fatal(err)
 	}
+	defer cs.Close()
 
 	// List the prompts.
 	for p, err := range cs.Prompts(ctx, nil) {