Avoid windows NotaDirectoryErrors in tests

We have many tests that fail with NotADiirectoryErrors in windows. (see https://github.com/dask/distributed/issues/6455 for an eample). It looks like we've tried to address this with the `utils_test.py::_SafeTemporaryDirectory` class. However it's only used in one of a few places in that module. Should we use it more widely? Alternatively, should we care about the windows error here?

cc @graingert if you have thoughts