fix(setup_helpers): ensure ThreadPool is closed (#3548)

* Ensure ThreadPool is closed in setup_helpers

The ParallelCompile setup helper using a ThreadPool to enable its
parallelism. It does not properly close the pool when it is done with
it.
This can lead to a "Exception ignored in: <function Pool.__del__..."
message with traceback being printed at shutdown.
Use pool.terminate() instead of context manager for Python 2.7
compatibility

* Add note to remove code that supports Python 2

Co-authored-by: Bobby Impollonia <bobby@k13capital.com>