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GH-38382: [R] Explicitly clean up `arrow_duck_connection()` on exit (#38495)


### Rationale for this change

We get lots of warning messages about unclosed connections when running tests + users get them on exit when they weren't expecting them.

### What changes are included in this PR?

A finalizer was added on exit to close the global arrow_duck_con that we cache in the global options.

### Are these changes tested?

Yes, the finalizer will run in every test that runs `to_duckb()` with the default connection.

### Are there any user-facing changes?

No.
* Closes: #38382

Authored-by: Dewey Dunnington <dewey@fishandwhistle.net>
Signed-off-by: Nic Crane <thisisnic@gmail.com>