Improve transport in SSE server example

[samuelcolvin]

Motivation and Context

I found it relatively difficult to work out how to use transports correctly, hopefully this helps others.

If this is wrong, that's strong evidence that we should at least provide a proper example.

How Has This Been Tested?

Yes manually

Breaking Changes

NA

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation update

Checklist

• I have read the MCP Documentation
• My code follows the repository's style guidelines
• New and existing tests pass locally
• I have added appropriate error handling
• I have added or updated documentation as needed

Additional context

[Rajesh-Narayanappa87]

This actually makes sense. I had to spend some time to correct myself when using/messages endpoint.

[jspahrsummers]

Great, thank you!

[mehdi-sp]

according to

typescript-sdk/src/shared/protocol.ts

Lines 228 to 230 in ba07d80

	* The Protocol object assumes ownership of the Transport, replacing any callbacks that have already been set, and expects that it is the only user of the Transport instance going forward.
	*/
	async connect(transport: Transport): Promise<void> {

the previous transports won't work

#204