Update sklearn tests to be compatible with current pytest version (pytest >=8.0.0)

[schlunma]

Description

This PR makes sure that a test for warnings in the sklearn test module is compatible with the most recent version of pytest..

• Closes [CI/pytest=8.0.0] Couple MLR test fails with new pytest #3516

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[valeriupredoi]

ah speaking of the wolf (was just mentioning you to @mwjury who reported these tests too). Many thanks, Manu 🍺