Ensure proxy transaction still present on exit before closing

Ensure proxy transaction still present on exit before closing

Fixed regression caused by the SQLAlchemy 1.4/2.0 compatibility switch
where calling ``.rollback()`` or ``.commit()`` explicitly within the
``context.begin_transaction()`` context manager would cause it to fail when
the block ended, as it did not expect that the transaction was manually
closed.

Change-Id: I4c5ba368bfd480d186276cd75edaac5019130bc6
Fixes: #829