FIX Close cleanly distributed Client at the end of unit tests

[fcharras]

The distributed pipeline seemed to be less stable after #1520 , all tests do pass and there is no deadlock but the python interpreter terminates with an error code and outputs a long traceback related to backend termination.

This PR might help fix that, it ensures that when a distributed.Client is opened locally in unit tests, it is also closed cleanly before exiting the test (like it has always been done in https://github.com/joblib/joblib/blob/master/joblib/test/test_dask.py but was overlooked in https://github.com/joblib/joblib/blob/master/joblib/test/test_parallel.py )

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Comparison is base (ebfe05d) 95.06% compared to head (3ea275c) 95.06%.

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #1526      +/-   ##
==========================================
- Coverage   95.06%   95.06%   -0.01%     
==========================================
  Files          44       44              
  Lines        7564     7562       -2     
==========================================
- Hits         7191     7189       -2     
  Misses        373      373              

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[ogrisel]

Thanks very much. The test logs look much cleaner now!