Fix not saving .nn file after max_timesteps (#1896)

Sends close command when closing workers.

ml-agents-envs/mlagents/envs/subprocess_environment.py

         return response
 
     def close(self):
+        self.conn.send(EnvironmentCommand("close"))
         self.process.join()
 
 
             elif cmd.name == 'global_done':
                 _send_response('global_done', env.global_done)
             elif cmd.name == 'close':
-                env.close()
                 break
     except KeyboardInterrupt:
         print('UnityEnvironment worker: keyboard interrupt')