why does my python server not run in a "with" block?

Question

I am writing a simple UDP Server that runs in a thread, based on this information

The code sending requests to the server is not shown for simplicity. Anyway, the following code does not work (requests do not seem to be received):

#!/bin/python3

import socketserver
import threading
import time

class MyServer(socketserver.DatagramRequestHandler):

    def handle(self):
        print("request received");

def do_nothing():
    c = 0
    while True:
        print("up for {}s".format(c))
        time.sleep(1)
        c += 1

def main():

    HOST, PORT = "127.0.0.1", 3600
    s = socketserver.ThreadingUDPServer((HOST, PORT), MyServer)
    with s:
        server_thread = threading.Thread(target=s.serve_forever)
        server_thread.daemon = True
        server_thread.start()
    do_nothing()

if __name__ == "__main__":
    main()

However, if I remove the "with block":

s = socketserver.ThreadingUDPServer((HOST, PORT), MyServer)
server_thread = threading.Thread(target=s.serve_forever)
server_thread.daemon = True
server_thread.start()

now things work perfectly.

Can anyone explain why?