[MRG] speedup and update tests and wheels and prepare for release 0.9.6

[rflamary]

Types of changes

Motivation and context / Related issue

How has this been tested (if it applies)

PR checklist

• I have read the CONTRIBUTING document.
• The documentation is up-to-date with the changes I made (check build artifacts).
• All tests passed, and additional code has been covered with new tests.
• I have added the PR and Issue fix to the RELEASES.md file.

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 97.15%. Comparing base (17699d7) to head (0119d36).
⚠️ Report is 1 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #759      +/-   ##
==========================================
- Coverage   97.16%   97.15%   -0.02%     
==========================================
  Files         107      107              
  Lines       21879    21877       -2     
==========================================
- Hits        21259    21254       -5     
- Misses        620      623       +3     

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