CI: Make uncaught warnings raise as errors

[TomAugspurger]

By adding

filterwarnings =
    error

to our setup.cfg, we can easily make uncaught warnings turn into errors. What are people's thoughts on this? The only downside I see is that contributor's PR will fail due to unrelated changes to a downstream package, but we can quickly fix those.

It seems like uses of

with warnings.catch_warnings(record=True):
   ...

does not work with however pytest is asserting that warnings haven't gotten through. We need to actually use tm.assert_produces_warning or pytest.warns, so it'll be a bit of work to transition.