Fix all warnings when running tests

When we run the test suite, we have a lot of noisy warnings. Most of them are DeprecationWarning of third party packages, so we could safely ignore them, others are valid warning that could be fixed. To avoid having such warnings (and do nothing about them), we could also ensure tests are failing when there are some warnings (pytest has an option for that).

[Pytest doc about warnings](https://docs.pytest.org/en/stable/how-to/capture-warnings.html#deprecationwarning-and-pendingdeprecationwarning)

On a related subject (but that's open to discussion), I think tests could benefit from migrating completely to pytest.