Clean up model update group on worker exit (#5325)

Co-authored-by: Quentin Gallouédec <45557362+qgallouedec@users.noreply.github.com>

Author: AmineDiro

trl/experimental/async_grpo/async_rollout_worker.py

@@ -266,6 +266,15 @@ def _run(self) -> None:
             raise
         finally:
             loop.close()
+            self._destroy_model_update_group()
+
+    def _destroy_model_update_group(self) -> None:
+        # It's important because otherwise we get errors on exit.
+        if self.model_update_group is None:
+            return  # happens if weight transfer was never initialized
+        self.model_update_group.group.store = None
+        self.model_update_group.group.socket = None
+        self.model_update_group = None
 
     def pause(self) -> None:
         t0 = time.time()