chore(sdk): fix status checker thread issue when user process exits without finish()

[raubitsj]

Fixes WB-NNNN
Fixes #NNNN

Description

What does the PR do?

Testing

How was this PR tested?

Checklist

• Include reference to internal ticket "Fixes WB-NNNN" and/or GitHub issue "Fixes #NNNN" (if applicable)
• Ensure PR title compliance with the conventional commits standards

[codecov]

Codecov Report

Merging #4761 (a2567d1) into main (f746436) will increase coverage by 0.07%.
The diff coverage is 60.00%.

Additional details and impacted files

@@            Coverage Diff             @@
##             main    #4761      +/-   ##
==========================================
+ Coverage   83.83%   83.90%   +0.07%     
==========================================
  Files         286      286              
  Lines       36028    36032       +4     
==========================================
+ Hits        30203    30232      +29     
+ Misses       5825     5800      -25     

Flag	Coverage Δ
functest	56.92% <60.00%> (+0.03%)	⬆️
unittest	74.12% <60.00%> (+0.06%)	⬆️

Flags with carried forward coverage won't be shown. Click here to find out more.

Impacted Files	Coverage Δ
wandb/sdk/wandb_run.py	90.68% <60.00%> (-0.04%)	⬇️
wandb/sdk/interface/interface_shared.py	90.78% <0.00%> (-0.71%)	⬇️
wandb/sdk/lib/mailbox.py	93.26% <0.00%> (-0.33%)	⬇️
wandb/sdk/lib/git.py	77.71% <0.00%> (ø)
wandb/util.py	87.68% <0.00%> (+0.41%)	⬆️
wandb/sdk/internal/internal_api.py	90.19% <0.00%> (+0.49%)	⬆️
wandb/sdk/wandb_setup.py	88.88% <0.00%> (+0.50%)	⬆️
wandb/sdk/lib/sock_client.py	94.17% <0.00%> (+1.05%)	⬆️
wandb/sdk/internal/context.py	100.00% <0.00%> (+2.08%)	⬆️
... and 2 more