[BUGFIX] Fix flakey TemporaryDirectory() cleanup on Windows

[DickJC123]

Description

On a recent PR of mine and in other PRs, I saw sporadic windows-gpu job failures, which I flagged awhile ago in issue #20914 . I feel now the problem is due to flakiness of tempfile.TemporaryDirectory() on Windows, as described here: https://www.scivision.dev/python-tempfile-permission-error-windows/. This PR starts with a non-functional commit to show that master is suffering this problem (which indeed failed with the expected "access violation": https://jenkins.mxnet-ci.com/blue/organizations/jenkins/mxnet-validation%2Fwindows-gpu/detail/PR-21107/1/pipeline). This PR then adds a like-named context manager routine mxnet.util.TemporaryDirectory() that wraps tempfile.TemporaryDirectory(), but ignores its cleanup issues on Windows. Finally, the PR changes all uses of tempfile.TemporaryDirectory() in the codebase to use the newly added mxnet.util.TemporaryDirectory().

Update: I realize that this PR really targets a different error, namely "access is denied", as reported in this older issue: #17558

The "access violation" is a segfault in a backend thread, and so is likely a different issue. This maybe a good PR to merge, if we are still seeing "access is denied". But it won't correct the frequent windows GPU CI failures we are currently seeing.

Checklist

Essentials

• PR's title starts with a category (e.g. [BUGFIX], [MODEL], [TUTORIAL], [FEATURE], [DOC], etc)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• Code is well-documented

[mxnet-bot]

Hey @DickJC123 , Thanks for submitting the PR
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[szha]

LGTM as a fix for sporadic cleanup behavior on windows