[xy] Fix memory leak in data integration pipelines.

[wangxiaoyou1993]

Description

Fix memory leak in data integration pipelines.
For SQL sources and destinations, close all the connections that weren't closed.

How Has This Been Tested?

Test data integration pipelines with the following source and destination locally

• OracleDB destination
• Postgres destination
• Redshift destination
• Snowflake destination
• OracleDB source
• Postgres source

Checklist

• The PR is tagged with proper labels (bug, enhancement, feature, documentation)
• I have performed a self-review of my own code
• I have added unit tests that prove my fix is effective or that my feature works
• I have commented my code, particularly in hard-to-understand areas
• I have made corresponding changes to the documentation

cc: