Python 3.6.7 |Anaconda custom (64-bit)| (default, Oct 28 2018, 19:44:12) [MSC v.1915 64 bit (AMD64)] on win32
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>>> def generate_loop():
...     for i in range(10):
...         print(i)
...         # should raise StopIteration when i > 5
...         k = next(j for j in range(5) if j == i)
...         print(k)
...         yield k
...
>>>
>>> def generate():
...     # should raise StopIteration
...     k = next(j for j in range(5) if j == 6)
...     yield k
...
>>>
>>> print(list(generate_loop()))
0
0
1
1
2
2
3
3
4
4
5
[0, 1, 2, 3, 4]
>>>
>>> print(list(generate()))
[]
>>>
>>> k = next(j for j in range(5) if j == 6)
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
StopIteration
>>>

But it still can catch by using try/except

>>> def generate_loop_stopiteration():
...     for i in range(10):
...         print(i)
...         # should raise StopIteration when i > 5
...         try:
...             k = next(j for j in range(5) if j == i)
...         except StopIteration:
...             print('catch')
...         print(k)
...         yield k
...
>>> print(list(generate_loop_stopiteration()))
0
0
1
1
2
2
3
3
4
4
5
catch
4
6
catch
4
7
catch
4
8
catch
4
9
catch
4
[0, 1, 2, 3, 4, 4, 4, 4, 4, 4]
>>>

Within a generator function, StopIteration exception is a sign that generator is finished. This is why this exception is caught automatically, and closes generator. This is normal and documented behaviour of generators.