### What changes were proposed in this pull request?
This PR is a followup of https://github.com/apache/spark/pull/32429 and https://github.com/apache/spark/pull/32644.
I was thinking about creating separate PRs but decided to include all in this PR because it shares the same context, and should be easier to review together.
This PR includes:
- Use `InheritableThread` and `inheritable_thread_target` in the current code base to prevent potential resource leak (since we enabled pinned thread mode by default now at https://github.com/apache/spark/pull/32429)
- Copy local properties when `start` at `InheritableThread` is called to mimic JVM behaviour. Previously it was copied when `InheritableThread` instance was created (related to #32644).
- https://github.com/apache/spark/pull/32429 missed one place at `inheritable_thread_target` (https://github.com/apache/spark/blob/master/python/pyspark/util.py#L308). More specifically, I missed one place that should enable pinned thread mode by default.
### Why are the changes needed?
To mimic the JVM behaviour about thread lifecycle
### Does this PR introduce _any_ user-facing change?
Ideally no. One possible case is that users use `InheritableThread` with pinned thread mode enabled.
In this case, the local properties will be copied when starting the thread instead of defining the `InheritableThread` object.
This is a small difference that wouldn't likely affect end users.
### How was this patch tested?
Existing tests should cover this.
Closes#32962 from HyukjinKwon/SPARK-35498-SPARK-35303.
Authored-by: Hyukjin Kwon <gurwls223@apache.org>
Signed-off-by: Hyukjin Kwon <gurwls223@apache.org>
6d309914df