Check for closed ports when writing chunks and give a hint to the user1.2.2

This makes it a bit more obvious what happened in cases like #1838,
reported by Woodrow E Douglass.

While at it, add some more test cases for this particular case, but
also for retry-attempts, as this is also affected when retry is
allowed for non-idempotent requests (which is pretty uncommon, but
possible)

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