segfault on mx1.8-cu110 with python3.7

[waytrue17]

Description

Running mxnet-horovod example incubator-mxnet/example/distributed_training-horovod/gluon_mnist.py on mxnet1.8-cuda11.0 with python 3.7 encountered a segfault error. The error occurred after the example script finished.
The same script works fine on mxnet1.8-cuda10.2 with python 3.7 and mxnet1.8-cuda11.0 with python 3.6.

To Reproduce

Steps to reproduce

1. Launch an EC2 p3.8x gpu instance with dlami: ami-02440419a5afe47ab
2. Build mx1.8-cu110 from source
3. Install Horovod python3 -m pip install horovod
4. Run LD_LIBRARY_PATH=/usr/local/cuda-11.0/lib64:$LD_LIBRARY_PATH python3 \ incubator-mxnet/example/distributed_training-horovod/gluon_mnist.py to reproduce the error

What have you tried to solve it?

1. Backport Remove cleanup on side threads #19378 to v1.8.x solved the issue