TST: Fix test warnings

[mroeschke]

• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.

[jbrockmendel]

Beat me to it. The only one in my branch worth porting is in tests/frame/test_constructors.py

-        df.iloc[:, 2] = pd.array([45, 46], dtype=c.dtype)
+        with tm.assert_produces_warning(FutureWarning, match="will attempt to set"):
+            df.iloc[:, 2] = pd.array([45, 46], dtype=c.dtype)
         assert df.dtypes.iloc[2] == c.dtype

[mroeschke]

Failure will be fixed by #47259

[jreback]

cool