Closing a Remote Data Adapter currently connected to LS Server is always considered a problem that is worth notifying with emphasis on the log, even when a Robust Proxy Data Adapter is in place.

You can initiate a controlled closure by invoking the "Failure" method from the Remote Data Adapter before starting the shutdown operation.
This causes a custom, hence suitable, error message to be shown on the Server side.
Note that invoking "Failure" may cause the Server to close the sockets first, which, in turn, may require the Remote Server to shutdown; you should ensure that the two requests for shutdown don't interfere.