ModelTrainer Local Mode PermissionError: [Errno 13] Permission denied: 'sm_drivers'

**Describe the bug**
A clear and concise description of what the bug is.
When running local mode example for ModelTrainer from example notebook, see an error like `PermissionError: [Errno 13] Permission denied: 'sm_drivers'` that seems to be coming during the cleanup process after the training is complete.

**To reproduce**
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The provided code need to be **complete** and **runnable**, if additional data is needed, please include them in the issue.

Run local mode example from here - https://github.com/aws/amazon-sagemaker-examples/tree/default/%20%20%20%20%20%20build_and_train_models/sm-model_trainer

**Expected behavior**
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* Running the local mode should not fail with permission denied, can have graceful exit with message or ensure the local cleanup happens successfully

**Screenshots or logs**
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**System information**
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- **SageMaker Python SDK version**: 2.240.0
- **Framework name (eg. PyTorch) or algorithm (eg. KMeans)**:
- **Framework version**:
- **Python version**:
- **CPU or GPU**:
- **Custom Docker image (Y/N)**:

**Additional context**
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build_and_train_models/sm-model_trainer の local-mode の例から始め、SageMaker Python SDK 2.240.0 を使用してクリーンアップ時の PermissionError を再現します。'sm_drivers' のクリーンアップ処理を追跡し、正常に完了した場合に PermissionError なしで終了し、クリーンアップが正常に行われることを確認します。

索引モデルが issue の本文から書いたものです。