Ensure ThreadPool is closed in setup_helpers

The ParallelCompile setup helper using a ThreadPool to enable its
parallelism. It does not properly close the pool when it is done with
it.
This can lead to a "Exception ignored in: <function Pool.__del__..."
message with traceback being printed at shutdown.

pybind11/setup_helpers.py

@@ -466,8 +466,9 @@ def _single_compile(obj):
                     threads = 1
 
             if threads > 1:
-                for _ in ThreadPool(threads).imap_unordered(_single_compile, objects):
-                    pass
+                with ThreadPool(threads) as pool:
+                    for _ in pool.imap_unordered(_single_compile, objects):
+                        pass
             else:
                 for ob in objects:
                     _single_compile(ob)