I noticed that IConnection has three events that return a Task: Connected, Received and Closed.

Oddly, Connected and Closed don't use that returned value.
And for Received, the task is added to a TaskQueue.

However, event delegates are multicast (many "subscribers"), so only the Task of the last subscriber is used.
As such, it is not typically recommended for events to have return types. But, in the case, a possible solution could be to explicitly invoke & await each subscriber, like this:

if (receivedHandler != null)
{
    foreach (var d in receivedHandler.GetInvocationList().OfType<Func<byte[], Task>>())
    {
        await d(buffer);
    }
}

Based on this answer on StackOverflow.