start the connection before calling receive in JmsIOTest

[tilgalas]

fixes #31332

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[Abacn]

Thanks, the change lgtm, there is one comment

[Abacn]

out of curiosity, why remove one message here?

[tilgalas]

becaues that makes it 5, otherwise the tests won't pass :)

[Abacn]

haha, I see L229 now, which means this test never worked before