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You guessed it Graham! Bob Brewer pointed me to your post while I was fighting with this, which led me to testing the behavior under various servers and finding the wsgiref issue.
Current Django trunk doesn't have its own finish_response anymore for the dev server; it's using the one on wsgiref's BaseHandler. So Django's problem should get fixed when wsgiref's does.
I'm working on a test of the simpler case of ensuring that close() is called when any old exception is raised during the response. A test that actually sets up a socket and tests the client disconnecting would be a lot more complicated and a bit out of step with the current wsgi tests that all seem to use a socket-less mock.