Suppress warning on exit by properly closing pydevd socket

[bersbersbers]

Closes #1812.

I am unsure if I should submit this to https://github.com/fabioz/PyDev.Debugger (first) because I can reproduce this only in conjunction with debugpy, like so:

C:\Git\debugpy\src>python -m debugpy --listen 5000 -c "import warnings; warnings.filterwarnings('error')"

[rchiodo]

/azp run

[azure-pipelines]

Azure Pipelines successfully started running 1 pipeline(s).

[rchiodo]

I am unsure if I should submit this to https://github.com/fabioz/PyDev.Debugger (first) because I can reproduce this only in conjunction with debugpy

That's kinda strange, but we do try to keep pydev.debugger and debugpy in sync. So theoretically a push here will end up in Pydev.debugger eventually.

[bersbersbers]

It's less strange once you consider that I started looking into pydevd only to fix this one bug. I have no idea how to even connect anything to pydevd, apart from debugpy. So I should probably rephrase, I don't know how I can reproduce it in pydevd, but that should not mean that I believe there is no way at all.

[rchiodo]

Thanks for the submission. Should ship in our next release.

[bersbersbers]

Backport in fabioz/PyDev.Debugger#304