The message is from the .NET runtime and seems to be complaining for the Server closing an HTTP connection after sending a response that did not include the "Connection:close" header.
I confirm that LS Server may exhibit this behavior in some cases, but this is not forbidden by the HTTP specifications.

In which point do you see the exception?
Does it interfere with the normal activity of the Client Library?
In other words: is the exception received upon a subscribe request or similar, so that the request fails?