[FLINK-32681] Wait for RocksDBStateDownloader threads on failure to ensure proper cleanup.

[StefanRRichter]

What is the purpose of the change

Fixes a test failure in RocksDBStateDownloaderTest by ensuring that on failure we first wait for all parallel download threads to complete and close their streams before cleaning up the download directories.

Downloader threads now also close and check against the ClosableRegistry more eagerly to fail fast.

Brief change log

• Wait for all parallel download threads to terminate before cleanup.
• Eagerly close the CloseableRegistry that is shared across all download threads to fail faster.
• Early exit in download threads if registry is already close to terminate faster.

Verifying this change

Please make sure both new and modified tests in this PR follows the conventions defined in our code quality guide: https://flink.apache.org/contributing/code-style-and-quality-common.html#testing

This change is already covered by existing tests, such as (please describe tests).

• RocksDBStateDownloaderTest

Does this pull request potentially affect one of the following parts:

• Dependencies (does it add or upgrade a dependency): (no)
• The public API, i.e., is any changed class annotated with @Public(Evolving): (no)
• The serializers: (no)
• The runtime per-record code paths (performance sensitive): (no)
• Anything that affects deployment or recovery: JobManager (and its components), Checkpointing, Kubernetes/Yarn, ZooKeeper: (yes)
• The S3 file system connector: (no)

Documentation

• Does this pull request introduce a new feature? (no)
• If yes, how is the feature documented? (not applicable)

[flinkbot]

CI report:

• 15e5ae8 Azure: SUCCESS

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[rkhachatryan]

LGTM