set shutdown_event instead of breaking on completion so get_chunk_link is informed

Signed-off-by: varun-edachali-dbx <varun.edachali@databricks.com>

Author: varun-edachali-dbx

src/databricks/sql/backend/sea/queue.py

@@ -216,7 +216,7 @@ def _worker_loop(self):
         while not self._shutdown_event.is_set():
             links_downloaded = self._trigger_next_batch_download()
             if not links_downloaded:
-                break
+                self._shutdown_event.set()
         self._link_data_update.notify_all()
 
     def start(self):