[docs] [issue34580] sqlite doc: clarify the scope of the context manager

[Berker Peksag]

Berker Peksag <berker.peksag at gmail.com> added the comment:

> Should I remove or change this line as per Daniel's comment "Note that
> this does not automatically call :meth:`close` on the connection object."

I'd prefer to keep the current wording as-is.

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