Fix issue 43442 (#44053)

* Fixes issues 43442 - SyntaxWarning: 'return' in a 'finally' block in azure-monitor-opentelemetry-exporter with Python 3.14

* Add CHANGELOG

* Update CHANGELOG

* Updated link in CHANGELOG

Author: rads-1996

sdk/monitor/azure-monitor-opentelemetry-exporter/CHANGELOG.md

@@ -7,6 +7,8 @@
 ### Breaking Changes
 
 ### Bugs Fixed
+- Fixes issue #43442: SyntaxWarning: 'return' in a 'finally' block in azure-monitor-opentelemetry-exporter with Python 3.14
+  ([#44053](https://github.com/Azure/azure-sdk-for-python/pull/44053))
 
 ### Other Changes
 

sdk/monitor/azure-monitor-opentelemetry-exporter/azure/monitor/opentelemetry/exporter/export/_base.py

@@ -267,6 +267,7 @@ def _transmit(self, envelopes: List[TelemetryItem]) -> ExportResult:
             # Currently only used for statsbeat exporter to detect shutdown cases
             reach_ingestion = False
             start_time = time.time()
+            final_result = None
             try:
                 track_response = self.client.track(envelopes)
                 if not track_response.errors:  # 200
@@ -467,11 +468,11 @@ def _transmit(self, envelopes: List[TelemetryItem]) -> ExportResult:
                             )
 
                             shutdown_statsbeat_metrics()
+                            final_result = ExportResult.FAILED_NOT_RETRYABLE
 
-                            # pylint: disable=lost-exception
-                            return ExportResult.FAILED_NOT_RETRYABLE  # pylint: disable=W0134
-                # pylint: disable=lost-exception
-                return result  # pylint: disable=W0134
+                if final_result is None:
+                    final_result = result
+            return final_result
 
         # No spans to export
         self._consecutive_redirects = 0