ENH: Refine connection exception handling #589

Job	Run time
lint (ubuntu-latest, 3.10)	54s
build_test_job (ubuntu-latest, 3.9, xoscar)	5m 54s
build_test_job (ubuntu-latest, 3.10, xoscar)	5m 52s
build_test_job (ubuntu-latest, 3.11, xoscar)	5m 40s
build_test_job (ubuntu-latest, 3.12, xoscar)	6m 17s
build_test_job (macos-13, 3.9, xoscar)	8m 27s
build_test_job (macos-13, 3.12, xoscar)	9m 44s
build_test_job (windows-latest, 3.9, xoscar)	11m 0s
build_test_job (windows-latest, 3.12, xoscar)	13m 39s
build_test_job (self-hosted, gpu, 3.11)	5m 12s
build_test_job (ubuntu-20.04, doc-build, 3.9)	3m 22s
	1h 16m 1s

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