Close requests.Socket in RemoteScheduler before exiting (#3173)

[starhel]

Description

If using luigi.build and sys.exit, ResourceWarning on unclosed socket is raised. As it can be easily fixed, I've added requests.Session.close call before exiting.

Motivation and Context

Fixes #3173

Have you tested this? If so, how?

I've tested it using code below under py38. Adding solid unit/integration test requires running remote scheduler and I will need guidance if one is needed.

import sys
from time import sleep

import luigi


class Task(luigi.Task):
    p = luigi.IntParameter()

    def run(self):
        with self.output().open('w') as f:
            sleep(1)
            f.write(str(self.p))

    def output(self):
        return luigi.LocalTarget(f'file_{self.p}.txt')


if __name__ == '__main__':
    sys.exit(0 if luigi.build([Task(p=2)], local_scheduler=False) else 1)

[dlstadther]

lgtm! Thanks!