Show where garbaged object was instantiated in warnings

### Is your feature request related to a problem?

We often get warnings of ClientSession and other objects that have not been closed properly, but it's often difficult to figure out which object is the problem and why it wasn't closed.

### Describe the solution you'd like

We can record the stack trace and include it in the warning, something along the lines of:
https://stackoverflow.com/a/22148022

This should be done under the `if DEBUG` flag to avoid performance impacts (although this may still be tricky to resolve flaky tests if we don't run them under debug mode by default).