locust: Exceptions raised in setup method causes Locust to break

In locustio 0.13.5, there is a very odd bug that prevents the setup method from using requests to make HTTP requests. When doing an HTTP POST request, the setup function unexpectedly returns. No exception is printed, but the remainder of the function does not execute. This is what my code looks like (edited down for confidentiality):

class MyLocust(HttpLocust):
    def setup(self):
        print('Creating test data')
    
        response = requests.post('https://my-service.company.com', json=test_data)
        assert response.status_code == 201
    
        print('Created test data')  

I added a try/catch to my code and apparently the requests.post() call throws a GreenletExit exception. After much consternation I was able to narrow the issue down to gevent. It appears that the gevent._ssl3 module’s call to self._wait(self._read_event, timeout_exc=_SSLErrorReadTimeout) on line 332 throws this GreenletExit error.

Important note: this error does not manifest in locustio 0.12.2 or lower.