Per MCP spec, clients that no longer need a session SHOULD send an HTTP
DELETE to the MCP endpoint with the Mcp-Session-Id header to explicitly
terminate it. Servers MAY respond with 405 Method Not Allowed when they
don't support client-initiated termination.
`MCP::Client::HTTP#close` sends the DELETE with session headers, clears
local session state regardless of outcome, and is a no-op when no
session has been established.
https://modelcontextprotocol.io/specification/2025-11-25/basic/transports#session-management
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