[CodeQL] Fix remaining SM00431 alerts

[ceciliaavila]

Fixes #6543

Description

This PR fixes the CodeQL SM00431 alert related to exposing an exception to the end user (more information).

Specific Changes

• Update response ConnectWebSocketAsync usage, passing exception message.
• Update EndToEndMiniLoadTests not to expose exception bodies.

Testing

CodeQL local report for exception exposure with no alerts:

Tests passed after the changes:

[coveralls]

Pull Request Test Coverage Report for Build 330441

• 0 of 0 changed or added relevant lines in 0 files are covered.
• No unchanged relevant lines lost coverage.
• Overall coverage increased (+0.006%) to 79.068%

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Totals
Change from base Build 329938:	0.006%
Covered Lines:	25702
Relevant Lines:	32506

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💛 - Coveralls