## Description ##
This fixes an issue introduced in this PR - 
https://github.com/apache/incubator-mxnet/pull/12507 for broken link checker.
"finally" block was removed because regression checks were removed. but, I had 
missed to remove "try" block.
Fails with this error - 
http://jenkins.mxnet-ci.amazon-ml.com/job/Broken_Link_Checker_Pipeline/310/console

## Checklist ##
### Essentials ###
Please feel free to remove inapplicable items for your PR.
- [X] Changes are complete (i.e. I finished coding on this PR)
- [X] Code is well-documented: 

@lebeg 

[ Full content available at: 
https://github.com/apache/incubator-mxnet/pull/12561 ]
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