Yep sorry you're right, actually client.print and write aren't blocking.
I was more thinking about connect() and begin() methods.
To be more precise, I have an Mifare module to capture RFID cards. When the user passes a card, its ID is sent to a server and during the server's connection i'd like to get those LEDs blinking to get something more fancy than my RGB LED going purple, then green when it completes.