Fix not saving .nn file after max_timesteps (#1896)

Sends close command when closing workers.

Author: Ervin T

ml-agents-envs/mlagents/envs/subprocess_environment.py

@@ -34,6 +34,7 @@ def recv(self) -> EnvironmentResponse:
         return response
 
     def close(self):
+        self.conn.send(EnvironmentCommand("close"))
         self.process.join()
 
 
@@ -61,7 +62,6 @@ def _send_response(cmd_name, payload):
             elif cmd.name == 'global_done':
                 _send_response('global_done', env.global_done)
             elif cmd.name == 'close':
-                env.close()
                 break
     except KeyboardInterrupt:
         print('UnityEnvironment worker: keyboard interrupt')