Use request.Session() in a 'with' block

[davel94]

Description

Without the 'with' block the count of open files go up on each authentication

Tested on pcluster comparing with scaler without the change. open file count remained at 3500 after running over the weekend.

Checklist

• [x] I have tested these changes locally.
• [ ] I have added unit tests (if appropriate).
• [ ] I have added necessary documentation or updated existing documentation.
• [ ] I have linked the issue(s) addressed by this PR if any.

[codecov[bot]]

Codecov Report

All modified and coverable lines are covered by tests :white_check_mark:

Project coverage is 93.75%. Comparing base (9ed2317) to head (2a5dd72).

Additional details and impacted files

```diff @@ Coverage Diff @@ ## main #424 +/- ## ======================================= Coverage 93.75% 93.75% ======================================= Files 64 64 Lines 2435 2435 ======================================= Hits 2283 2283 Misses 152 152 ```

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