remove cleanup on side threads (#19557)

Co-authored-by: Wei Chu <weichu@amazon.com>

Author: waytrue17

src/engine/naive_engine.cc

@@ -74,14 +74,11 @@ class NaiveEngine final : public Engine {
     LOG(INFO) << "Engine shutdown";
     for (size_t i = 0; i < streams_.size(); ++i) {
       if (streams_[i] != nullptr) {
-        // Catch exception for CUDA driver shutdown
-        MSHADOW_CATCH_ERROR(mshadow::DeleteStream(streams_[i]));
         streams_[i] = nullptr;
       }
     }
     for (size_t i = 0; i < aux_streams_.size(); ++i) {
       if (aux_streams_[i] != nullptr) {
-        delete aux_streams_[i];
         aux_streams_[i] = nullptr;
       }
     }

src/engine/threaded_engine_perdevice.cc

@@ -271,10 +271,6 @@ class ThreadedEnginePerDevice : public ThreadedEngine {
     while (task_queue->Pop(&opr_block)) {
       this->ExecuteOprBlock(run_ctx, opr_block);
     }
-    // Catch exception for CUDA driver shutdown
-    MSHADOW_CATCH_ERROR(mshadow::DeleteStream<gpu>(stream));
-    if (aux_stream != nullptr)
-      delete aux_stream;
 #else
     ready_event->signal();
 #endif