update header across request session (#472)

Originally affirm reported log_event have this issue, but they also find
out that dcs also has high failure over peer cancelled error

See more context here
statsig-io/private-python-sdk#469

Author: xinlili-statsig

statsig/http_worker.py

@@ -53,6 +53,9 @@ def __init__(
         self.__temp_cert_files: List[str] = []
         self.__statsig_request_session = requests.Session()
         self.__request_session = requests.Session()
+        self.__request_session.headers.update({
+            "Connection": "close"
+        })
 
     def is_pull_worker(self) -> bool:
         return True
@@ -153,8 +156,7 @@ def log_events(
     ) -> RequestResult:
         disable_compression = _SDK_Configs.on("stop_log_event_compression")
         additional_headers = {
-            "STATSIG-RETRY": str(retry),
-            "Connection": "close"
+            "STATSIG-RETRY": str(retry)
         }
         if headers is not None:
             additional_headers.update(headers)

tests/test_network.py

@@ -73,3 +73,8 @@ def test_invalid_post(self):
             },
             True,
         )
+        
+    # Explicitly set Connection: close header to avoid peer connection issues in some environments
+    def test_request_session_connection_header(self):
+        request_session = self.net._HttpWorker__request_session
+        self.assertEqual(request_session.headers.get("Connection"), "close")