[exporter/stef] Fix connection creation bug causing test failures #44048
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Fixes #42947
TestHarness_MetricsGoldenData/stef-stef was sporadically failing because of a bug in the implementation of Create() function. Just created connection could have been closed because of the bug, depending on the order of "select" operations and the timing of other operations.
This now fixes the bug, ensuring the code does not try to cancel a successfully created connection.
I managed to create a simple repro by adding a time delay in the inner goroutine, but I won't be commiting the change since it is detrimental to production code. There is no trivial way to add a reliable test that verifies specifically this bug, but TestHarness_MetricsGoldenData/stef-stef was already hitting it once in a while, so we will rely on that as the test that verifies the bug fix.