Properly delete metrics when a process is killed
Tests are flaky when using metrics in distributed setup.
There is because of one test that make sure that using two possibly incompatible metric computation (same exp id) either works or raises the right error.
However if the error is raised, all the processes of the metric are killed, and the open files (arrow + lock files) are not closed correctly. This causes PermissionError on Windows when deleting the temporary directory.

To fix that I added a `finally` clause in the function passed to multiprocess to properly close the files when the process exits.