chore: Make behaviour clear about returning in finally block

[lucashuy]

Which issue(s) does this change fix?

#7599

Why is this change necessary?

Returning inside a finally block swallows any previously re-raised exceptions, and might raise up questions about it's usage.

How does it address the issue?

Adds a comment that explains it was deliberate.

What side effects does this change have?

None

Mandatory Checklist

PRs will only be reviewed after checklist is complete

• Add input/output type hints to new functions/methods
• Write design document if needed (Do I need to write a design document?)
• Write/update unit tests
• Write/update integration tests
• Write/update functional tests if needed
• make pr passes
• make update-reproducible-reqs if dependencies were changed
• Write documentation

By submitting this pull request, I confirm that my contribution is made under the terms of the Apache 2.0 license.