We recently added an explicit finalize to SBProgress, #128966. I
realized while adding some additional implementations of SBProgress that
we should to add `with` support for ease of use. This patch addresses
adding and `__enter()__` method (which a no-op) and an `__exit()__` to
swig. I also refactor the emitter for the test to leverage `with`
instead of explicitly calling finalize, and I've updated the docstrings.