Fix exception causes all over the codebase

[cool-RR]

@ogrisel
This is a continuation of #1067

[codecov]

Codecov Report

Merging #1070 into master will decrease coverage by 0.05%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master    #1070      +/-   ##
==========================================
- Coverage   94.45%   94.39%   -0.06%     
==========================================
  Files          47       47              
  Lines        6849     6849              
==========================================
- Hits         6469     6465       -4     
- Misses        380      384       +4     

Impacted Files	Coverage Δ
joblib/_multiprocessing_helpers.py	80.00% <ø> (ø)
joblib/_dask.py	94.89% <100.00%> (ø)
joblib/_parallel_backends.py	94.92% <100.00%> (ø)
joblib/disk.py	92.06% <100.00%> (ø)
joblib/func_inspect.py	91.61% <100.00%> (ø)
joblib/logger.py	86.84% <0.00%> (-1.32%)	⬇️
joblib/memory.py	95.39% <0.00%> (-0.55%)	⬇️
joblib/_store_backends.py	90.76% <0.00%> (-0.52%)	⬇️

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[ogrisel]

Thank you very much @cool-RR !