DOC GH29075 close database connections after creation
- [x] closes #29075 
- [ ] whatsnew entry

I've expanded on the use of a context manager to handle the closing of the database connection after the connection has been opened. I've also included a warning at the end of the section highlighting problems with leaving the database connection open. I think these additions tackle the docs problem associated with this issue.

Whilst psycopg2 is supported through sqlalchemy it appears to not be explicitly supported in its own right. I linked to the section in the sqlalchemy docs which discusses what happens when you use a Python context manager to handle connecting to a database. Hopefully users will now have a better idea on how or why database connections are being made in the recommended manner and can access the relevant documentation quickly.