File leaks during read_csv and read_fwf tests on Windows platform

[amyskov]

System information

• OS Platform and Distribution (e.g., Linux Ubuntu 16.04): Windows 10
• Modin version: 1a8cd0a + patch (listed below)
• Python version: 3.8.6
• Code we can use to reproduce:
  patch:

diff --git a/modin/pandas/test/test_io.py b/modin/pandas/test/test_io.py
index 9342980..db14fc6 100644
--- a/modin/pandas/test/test_io.py
+++ b/modin/pandas/test/test_io.py
@@ -309,7 +309,7 @@ def make_csv_file():
             try:
                 os.remove(filename)
             except PermissionError:
-                pass
+                raise


 @pytest.fixture(scope="class")
@@ -357,7 +357,7 @@ def TestReadCSVFixture():
             try:
                 os.remove(filename)
             except PermissionError:
-                pass
+                raise


 def setup_json_file(row_size, force=False):
@@ -420,7 +420,7 @@ def teardown_excel_file():
         try:
             os.remove(TEST_EXCEL_FILENAME)
         except PermissionError:
-            pass
+            raise


 def setup_feather_file(row_size, force=False):
@@ -555,7 +555,7 @@ def teardown_fwf_file():
         try:
             os.remove(TEST_FWF_FILENAME)
         except PermissionError:
-            pass
+            raise


 @pytest.mark.usefixtures("TestReadCSVFixture")
@@ -2305,7 +2305,7 @@ def test_cleanup():
             try:
                 os.remove(f)
             except PermissionError:
-                pass
+                raise


 def test_from_arrow():

After patch applying run pytest modin/pandas/test/test_io.py

Describe the problem

Looks like files are not properly closed as it was in #2514.

Source code / logs

pytest logs:

========================================================================= short test summary info =========================================================================
FAILED modin/pandas/test/test_io.py::test_fwf_file_index_col - PermissionError: [WinError 32] The process cannot access the file because it is being used by another proc...
ERROR modin/pandas/test/test_io.py::TestReadCSV::test_read_csv_internal[None-True-True-True-,-python-False] - PermissionError: [WinError 32] The process cannot access th...
ERROR modin/pandas/test/test_io.py::TestReadCSV::test_read_csv_internal[None-True-True-False-,-python-False] - PermissionError: [WinError 32] The process cannot access t...
======================================= 1 failed, 1577 passed, 12 skipped, 98 xfailed, 3 xpassed, 1693 warnings, 2 errors in 49.04s =======================================

[jbrockmendel]

possibly useful: pandas.util._test_decorators.check_file_leaks