document state change timing

[belm0]

I wasn't able to find anything in the documentation about when ConnectionState changes, especially for the case where remote is initiating CloseConnection. It's significant in light of the recent change b0efe55, which will raise LocalProtocolError if you attempt send a message during REMOTE_CLOSING, etc.

For CloseConnection initiated by the remote, it appears that the state will change when the event is yielded from events(). I don't think the documentation should assume this is obvious, because one might think that state changes at the time of receive_data().