[MNT] refactoring new CI to fix some bugs and other minor enhancements

[yarnabrina]

Fixes #5559 (indirectly depends on #5670 for all tests to pass as part of #5639)

This fixes few bugs (typos, possibly unreliable coverage, etc.) and added some minor enhancements in new CI.

1. fix main typo: sktime-component was using detect_components_with_extras which is undefined
2. split test_components into two separate workflows:
   1. one to test individual components using dedicated extras and reuse defined actions
   2. one to test all other components without extras using all_extras_pandas2
3. split long commands into multiple lines using YAML multiline strings (ref. https://yaml-multiline.info/)
4. skip duplicated testing of base as part of testing components without dedicated extras
5. remove coverage in partial tests
6. add coverage in full tests if missing
7. added validation of all_extras_pandas2
8. minor changes (mostly renaming) in some places

The changes are tested in #5639 and as it can be seen in https://github.com/sktime/sktime/actions/runs/7339442367, both components with and without extras trigger sub-jobs as expected.

[fkiraly]

I am confused with the PR title - it says it fixes typos, but there are entire files added in workflows - is this a mistake, or are file renames and changes happening in the same PR?

[yarnabrina]

I am confused with the PR title - it says it fixes typos, but there are entire files added in workflows - is this a mistake, or are file renames and changes happening in the same PR?

The typo fix is the main change what was causing the issue that few tests were not running in new CI. However, fixing that led to copilot and github docs suggesting some other changes to simplify maintenance, so added those as well.

I renamed the PR now, but not sure if it's suitable. All the details are part of the description.

[fkiraly]

I'm happy with this after discussions on the discord channel.
The release cycle will also give us at least a few weeks to test this out.

We will still need to resolve:
outstanding questions on how and which parts of current CI to deprecate or replace, and
#5559
#5525
#5523

Related discussion also in:
#5671
#5436
#5477
#5292

[yarnabrina]

Notes/Summary

#5559 - addressed by this PR.
#5525 - not addressed yet, was attempted in #5498, but didn't work, reverted in 1dee835.
#5523 - not adressed yet, but it's more good-to-have than necessary in my opinion.

#5671 - partially addressed as pyproject changes would be tested, no explanation on dependabot's partial attempt.
#5436 - not addressed and out-of-scope for CI, but may be that issue can be broadened to even 3.12.
#5477 - not addressed, very good-to-have to decrease runtime of new CI, open for suggestions.
#5292 - not addressed, open for suggestions, indirectly can be tested by manual runs of test_all workflow on that branch.