Fix OSError: [Errno 24] Too many open files: 'nul'

[Sm1Ling]

Added closing of save_fds.

Why are these changes needed?

This change fixes bug mentioned in Issue #1454

Related issue number

Closes #1454

Checks

Actually, I haven't made any checks. Just fixed 2 lines of code

• I've used pre-commit to lint the changes in this PR (note the same in integrated in our CI checks).
• I've included any doc changes needed for https://microsoft.github.io/FLAML/. See https://microsoft.github.io/FLAML/docs/Contribute#documentation to build and test documentation locally.
• I've added tests (if relevant) corresponding to the changes introduced in this PR.
• I've made sure all auto checks have passed.

[thinkall]

Thank you so much for the PR, @Sm1Ling. Can you please fix the code format issue and the TypeError in the added code? Thanks.

[thinkall]

Could you please fix the test errors? Thanks.

[thinkall]

LGTM. Thank you so much, @Sm1Ling !