SSE Client Example for MCP SDK

Motivation and Context

This PR provides a minimal Server-Sent Events (SSE) client example, as requested in issue #584.

The goal was to add a WORKING demonstration of how an MCP-compatible client would handle streamed responses using standard HTTP and Server-Sent Events logic.
No public MCP server was available; therefore, a simple local mock server was used to simulate behavior.

What Does This PR Do?

• Adds examples/sse_client_demo.py — a basic working SSE client demo.
• Adds examples/README.md — documentation on running the demo.
• Adds examples/images/demo_screenshot.png — a screenshot showing the working output.
• Simulates an MCP-compatible server locally via Flask for demonstration purposes.

How Has This Been Tested?

• Manually tested by running the SSE client against a local mock Flask server.
• Client successfully received multiple streamed updates (data: {}) in real-time.
• Screenshot proof (demo_screenshot.png) attached.
• All GitHub Actions checks passed (formatting, linting, build verification).
• Code style validated via ruff and testing methods.

Breaking Changes

This PR introduces a new example only and does not modify the core SDK or any existing functionality.

Types of Changes

• ✅New Example (non-breaking addition to examples directory)
• ✅Documentation and Screenshot addition
• ✅Local Testing Verified

Checklist

• ✅ I have read the MCP Documentation.
• ✅ My example follows the repository's coding style and structure.
• ✅ I tested locally using a mock server and verified event streaming.
• ✅I included a README with instructions and a Screenshot.
• ✅No breaking changes introduced to the SDK.

Additional Context

• Discussed in issue #584.
• If a public MCP server becomes available in the future, this demo can be easily updated to point to the real server endpoint instead of a mock.
• Future improvements could include retry logic and automatic reconnection handling if desired.

Screenshot

• ✅Screenshot proof (demo_screenshot.png) attached.