Fix unclosed socket warning caused by RequestsFetcher

[sechkova]

Description of the changes being introduced by the pull request:

Close the Response object when an HTTP error is raised.

Please verify and check that the pull request fulfills the following
requirements:

• The code follows the Code Style Guidelines
• Tests have been added for the bug fix or new feature
• Docs have been added for the bug fix or new feature

[sechkova]

I also opened #1303 as a requests for further improvement.

[jku]

Agreed, this is correct. Would be great if we could somehow use the response as a contextmanager but ... I don't think it's possible considering we want the chunks()-generator to own and finally close the response.

So LGTM.