SQL: use of connection context manager not supported by mysql.connector
Coming from discussion in #8232, current master breaks with `mysql.connector` as the MySQL driver in the fallback modus (deprecated) due to the use of context managers.

This was introduced in #8062, to ensure that the different chunks would be inserted in one transaction (when using the `chunksize` argument).

The connection context manager is however nog DBAPI specified behaviour, and differs among drivers:
- sqlite3 returns a connection from the context manager, but has a connection.executemany, so that of course works (otherwise the tests would not pass at all)
- pymysql returns a cursor, but does not close that cursor automatically (I don't know if this is a problem)
- MySQLdb does now support such a context manager (from 1.2.5, so only the latest version), and does the same as pymysql
- mysql.connector does not support it, so the current implementation fails with that.

So problem is that with the current code in master, we break the fallback mode when using `mysql.connector`.

Solution: I think remove the context managers for now (which will make the code a bit more complex), until mysql support is fully dropped
