Allow Horovod teardown() to complete gracefully if exception thrown in callback setup

[speediedan]

What does this PR do?

Fixes: #11751

HorovodStrategy.teardown() may not complete gracefully if an exception is thrown before HorovodStrategy._exit_stack is set. Providing a simple fix that verifies _exit_stack is set before attempting to use it.

Does your PR introduce any breaking changes? If yes, please list them.

None

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