[Core] ray init sigterm

[jonathan-anyscale]

Why are these changes needed?

Additional update on https://github.com/ray-project/ray/pull/39482/files
sigterm handler can only be run in main thread of driver process, so add checker before setting one

Related issue number

Checks

• I've signed off every commit(by using the -s flag, i.e., git commit -s) in this PR.
• I've run scripts/format.sh to lint the changes in this PR.
• I've included any doc changes needed for https://docs.ray.io/en/master/.
  • I've added any new APIs to the API Reference. For example, if I added a
    method in Tune, I've added it in doc/source/tune/api/ under the
    corresponding .rst file.
• I've made sure the tests are passing. Note that there might be a few flaky tests, see the recent failures at https://flakey-tests.ray.io/
• Testing Strategy
  • Unit tests
  • Release tests
  • This PR is not tested :(

[jjyao]

Windows //python/ray/tests:test_tls_auth failed: https://buildkite.com/ray-project/oss-ci-build-pr/builds/36553#018abfd1-0b8c-42c8-893a-a0f35cbb0ad7

[jjyao]

Lint failed

python/ray/tests/test_tls_auth.py:142:5: F841 local variable 'out' is assigned to but never used
--
  | 🚨 Error: The command exited with status 123

Could you also update the PR description to be more descriptive.