Fix or deprecate non-context manager `Run`

[kzscisoft]

Unfortunately non-context manager use of the Run class leads to hanging if an exception is raised:

run = Run()
raise RuntimeError

because the Run does not have access to the exception the threads within it continue leading to a hang, whereas within the context manager the Run.__exit__ method can handle exceptions in scope:

with Run() as run:
      raise RuntimeError

This makes the non-CM variant more unstable, however CMs do not work well within Jupyter notebooks as all code in scope must be within a single block. Need to discuss how to approach this issue.

There may be other use cases where the user wants to later call Run.close() as well.