`CancellationToken`, not cancelling after start of streaming.

Confirm this is not an issue with the OpenAI Python Library

[X] This is not an issue with the OpenAI Python Library

Confirm this is not an issue with the underlying OpenAI API

[X] This is not an issue with the OpenAI API

Confirm this is not an issue with Azure OpenAI

[X] This is not an issue with Azure OpenAI

Describe the bug

We got an issue raised at Semantic Kernel that ended up also being a potential bug on the SDK implementation.

https://github.com/microsoft/semantic-kernel/issues/8718

After starting the streaming of the first chunk and issuing Cancel on the token, the stream is not cancelled and continues to give the remaining chunks.

To Reproduce

[!IMPORTANT] This example uses the AzureOpenAIClient but the CancellationToken behavior is inherited from the OpenAIClient.

Failing xUnit Reproduction Code (should Pass)

  [Fact]
  public async Task ItCancellationWorksAsExpectedAfterFirstChunkSuccessful2Async()
  {
      // Arrange
      using var streamText = new MemoryStream(Encoding.UTF8.GetBytes(
          """
          data: {"id":"Eoo","object":"chat.completion.chunk","created":1711377846,"model":"gpt-4-0125-preview","system_fingerprint":"fp_a7daf7c51e","choices":[{"index":0,"delta":{"content":"Test chat streaming response"},"logprobs":null,"finish_reason":null}]}

          data: {"id":"Eoo","object":"chat.completion.chunk","created":1711377846,"model":"gpt-4-0125-preview","system_fingerprint":"fp_a7daf7c51e","choices":[{"index":0,"delta":{},"logprobs":null,"finish_reason":"stop"}]}

          data: [DONE]
          """
          ));

      using var response = new HttpResponseMessage(HttpStatusCode.OK) { Content = new StreamContent(streamText) };
      this._messageHandlerStub.ResponsesToReturn.Add(response);

      var azureClient = new AzureOpenAIClient(new Uri("http://localhost"), "api-key", new AzureOpenAIClientOptions { Transport = new HttpClientPipelineTransport(this._httpClient) });

      using var cancellationTokenSource = new CancellationTokenSource();
      cancellationTokenSource.CancelAfter(1000);

      var sut = azureClient.GetChatClient("mock-model");

      // Act & Assert
      var enumerator = sut.CompleteChatStreamingAsync(["Hello!"], cancellationToken: cancellationTokenSource.Token).GetAsyncEnumerator();
      await enumerator.MoveNextAsync();

      var firstChunk = enumerator.Current;
      Assert.False(cancellationTokenSource.IsCancellationRequested);
      await Task.Delay(1000);

      await Assert.ThrowsAsync<TaskCanceledException>(async () =>
      {
          // Should throw for the second chunk
          Assert.True(cancellationTokenSource.IsCancellationRequested);          
          Assert.True(cancellationTokenSource.Token.IsCancellationRequested);
          await enumerator.MoveNextAsync();
          await enumerator.MoveNextAsync();
      });
  }

Code snippets

No response

OS

Windows 11

.NET version

.net 8

Library version

beta.11

openai / openai-dotnet

`CancellationToken`, not cancelling after start of streaming. #213