Recently I become aware that the Rx Finally operator behaves in a way which, at least for me, is unexpected. My expectation was that any error thrown by the finallyAction would be propagated to the operator's observers downstream. Alas this is not what happens. In the reality the operator first propagates the completion (or the failure) of the antecedent sequence to its observers, and then invokes the action, at a point in time when it's not possible to propagate a potential error thrown by the action. So it throws the error on the ThreadPool, and crashes the process. Which is not only unexpected, but also highly problematic. Below is a minimal demonstration of this behavior:
Observable
    .Timer(TimeSpan.FromMilliseconds(100))
    .Finally(() => throw new ApplicationException("Oops!"))
    .Subscribe(_ => { }, ex => Console.WriteLine(ex.Message),
        () => Console.WriteLine("Completed"));
Thread.Sleep(1000);
Outcome: Unhandled exception (Fiddle)
The exception thrown by the Finally lambda is not handled by the Subscribe:onError handler, as it would be desirable.
This feature (I am tempted to call it a flaw) limits severely the usefulness of the Finally operator in my eyes. Essentially I can only use it when I want to invoke an action that is expected to never fail, and if it fails it would indicate a catastrophic corruption of the application's state, when no recovery is possible. I could use it for example to Release a SemaphoreSlim (like I've done here for example), which can only fail if my code has a bug. I am OK with my app crashing in this case. But I've also used it recently to invoke an unknown action supplied by the caller, an action that could potentially fail, and crashing the app in this case is unacceptable. Instead, the error should be propagated downstream. So what I am asking here is how to implement a Finally variant (let's call it FinallySafe) with identical signature, and the behavior specified below:
public static IObservable<TSource> FinallySafe<TSource>(
    this IObservable<TSource> source, Action finallyAction);
- The finallyActionshould be invoked after thesourcesequence has emitted anOnCompletedor anOnErrornotification, but before this notification is propagated to the observer.
- If the finallyActioninvocation completed successfully, the originalOnCompleted/OnErrornotification should be propagated to the observer.
- If the finallyActioninvocation failed, anOnErrornotification should be propagated to the observer, containing the error that just occurred. In this case the previous error, the one that may have caused thesourceto complete with failure, should be ignored (not propagated).
- The finallyActionshould also be invoked when theFinallySafeis unsubscribed before the completion of thesource. When a subscriber (observer) disposes a subscription, thefinallyActionshould by invoked synchronously, and any error should be propagated to the caller of theDisposemethod.
- If the FinallySafeis subscribed by multiple observers, thefinallyActionshould be invoked once per subscription, independently for each subscriber, following the rules above. Concurrent invocations are OK.
- The finallyActionshould never be invoked more than once per subscriber.
Validation: replacing the Finally with the FinallySafe in the code snippet above, should result to a program that doesn't crash with an unhandled exception.
Alternative: I am also willing to accept an answer that provides a reasonable explanation about why the behavior of the built-in Finally operator is better than the behavior of the custom FinallySafe operator, as specified above.
 
     
    