Fix leaked resources identified by StrictMode

[marandaneto]

💡 Motivation and Context

StrictMode revealed that some resources were not closed.
Also added a memory leak detector

💚 How did you test it?

📝 Checklist

• I reviewed the submitted code.
• I added tests to verify the changes.
• I updated the docs if needed.
• No breaking change or entry added to the changelog.

[pauldambra]

🙌