Add exception in test_action

[navinsoni]

Issue #, if available:

Description of changes:

Testing done:

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• I have read the CONTRIBUTING doc
• I certify that the changes I am introducing will be backword compatible, and I have discussed concerns about this, if any, with the Python SDK team
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[sagemaker-bot]

AWS CodeBuild CI Report

• CodeBuild project: sagemaker-python-sdk-unit-tests
• Commit ID: dac219a
• Result: FAILED
• Build Logs (available for 30 days)

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[mufaddal-rohawala]

nit: do we need this? If association exists it should be deleted right

[sagemaker-bot]

AWS CodeBuild CI Report

• CodeBuild project: sagemaker-python-sdk-unit-tests
• Commit ID: c81ac9c
• Result: SUCCEEDED
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[codecov-commenter]

Codecov Report

Merging #2938 (c81ac9c) into dev (b591959) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##              dev    #2938   +/-   ##
=======================================
  Coverage   89.49%   89.49%           
=======================================
  Files         195      195           
  Lines       16567    16567           
=======================================
  Hits        14826    14826           
  Misses       1741     1741           

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[sagemaker-bot]

AWS CodeBuild CI Report

• CodeBuild project: sagemaker-python-sdk-local-mode-tests
• Commit ID: c81ac9c
• Result: SUCCEEDED
• Build Logs (available for 30 days)

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[sagemaker-bot]

AWS CodeBuild CI Report

• CodeBuild project: sagemaker-python-sdk-slow-tests
• Commit ID: c81ac9c
• Result: SUCCEEDED
• Build Logs (available for 30 days)

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