[SPARK-4531] [MLlib] cache serialized java object

The Pyrolite is pretty slow (comparing to the adhoc serializer in 1.1), it cause much performance regression in 1.2, because we cache the serialized Python object in JVM, deserialize them into Java object in each step.

This PR change to cache the deserialized JavaRDD instead of PythonRDD to avoid the deserialization of Pyrolite. It should have similar memory usage as before, but much faster.
Why have the try-finally block?  (Or did you mean for the caching to happen inside the block?)