Resolve sqlalchemy import failures in mindeps testing

[charlesbluca]

#9801 added a warning filter for sqlalchemy.exc.RemovedIn20Warning that referred to the module directly, raising failures in our mindeps testing since sqlalchemy is not installed in that environment.

This PR modifies the warning filter to match for the warning using regex, which doesn't require sqlalchemy to be installed and resolves the mindeps failures.

cc @graingert

• Closes #xxxx
• Tests added / passed
• Passes pre-commit run --all-files

[graingert]

I wonder if it would be better to use an alias like

try:
    from sqlalchemy.ext import RemovedIn20Warning
except ModuleNotFoundError:
    class RemovedIn20Warning(Warning):
        pass

and setting the warning to ignore:.*:dask.tests.warn_aliases.RemovedIn20Warning?

[mrocklin]

This is looking good so far. Thank you @charlesbluca and @graingert . The current failure is listed at #9793 (which we should also resolve ASAP)

Merging.

[jrbourbeau]

We're seeing

09:15:35 ERROR: while parsing the following warning configuration:

09:15:35 

09:15:35   ignore:.*:dask.tests.warning_aliases.RemovedIn20Warning

09:15:35 

09:15:35 This error occurred:

09:15:35 

09:15:35 Traceback (most recent call last):

09:15:35   File "/opt/conda/envs/dask/lib/python3.9/site-packages/_pytest/config/__init__.py", line 1690, in parse_warning_filter

09:15:35     category: Type[Warning] = _resolve_warning_category(category_)

09:15:35   File "/opt/conda/envs/dask/lib/python3.9/site-packages/_pytest/config/__init__.py", line 1728, in _resolve_warning_category

09:15:35     m = __import__(module, None, None, [klass])

09:15:35 ModuleNotFoundError: No module named 'dask.tests.warning_aliases'

failing in the gpuCI here. @charlesbluca @graingert any thoughts on why that may be?

[charlesbluca]

Think the issue here is that the gpuCI build is running python setup.py install versus a pip install (at least that seemed to reproduce things locally); can go ahead and open up a PR making the needed modification