docs: clarify async client cleanup (#2388)

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## Changes being requested

When using multiple AsyncOpenAI clients to send records to a local vLLM
server, we ran into an issue with garbage collection after switching
from the sync client to the async client. We started seeing a bunch of
errors like:

```
Traceback (most recent call last):\n  File \"/usr/local/lib/python3.9/dist-packages/httpx/_client.py\", line 1985, in aclose\n    await self._transport.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/httpx/_transports/default.py\", line 406, in aclose\n    await self._pool.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/httpcore/_async/connection_pool.py\", line 353, in aclose\n    await self._close_connections(closing_connections)\n  File \"/usr/local/lib/python3.9/dist-packages/httpcore/_async/connection_pool.py\", line 345, in _close_connections\n    await connection.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/httpcore/_async/connection.py\", line 173, in aclose\n    await self._connection.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/httpcore/_async/http11.py\", line 258, in aclose\n    await self._network_stream.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/httpcore/_backends/anyio.py\", line 53, in aclose\n    await self._stream.aclose()\n  File \"/usr/local/lib/python3.9/dist-packages/anyio/_backends/_asyncio.py\", line 1314, in aclose\n    self._transport.close()\n  File \"/usr/lib/python3.9/asyncio/selector_events.py\", line 698, in close\n    self._loop.call_soon(self._call_connection_lost, None)\n  File \"/usr/lib/python3.9/asyncio/base_events.py\", line 751, in call_soon\n    self._check_closed()\n  File \"/usr/lib/python3.9/asyncio/base_events.py\", line 515, in _check_closed\n    raise RuntimeError('Event loop is closed')\nRuntimeError: Event loop is closed\n
```

which indicated that the event loop was being closed before we could
close the client. Concurrently, we saw degraded performance. When we
switched to `with` blocks for resource management, the problem went away
(PR - https://github.com/apache/beam/pull/35053/files). I seems like
relying on normal garbage collection calling
https://github.com/openai/openai-python/blob/f588695f77aad9279a355f5f483d8debf92b46ed/src/openai/_base_client.py#L1318C21-L1318C37
can cause a meaningful performance issue because the event loop can be
destroyed before the client cleanup finishes.

Its not clear to me if the slowness was caused by:
1) Overhead associated with trying to call a closed event loop
2) Actually failing to close the connections

Regardless, it would be nice to doc this since switching clients did not
work without some minor changes.

---------

Co-authored-by: Marcus Wood <marcuswood@openai.com>