[MRG] Fix test failures due to updated packages: deprecated pytest.warns(None) syntax + GLasso update in sklearn

[bellet]

This PR fixes two problems due to updates in pytest and sklearn:

• sklearn has changed the name of the function implementing graphical lasso, which make SDML (and associated tests) fail when SKGGM is not installed. This PR makes a quick (and dirty?) fix that does the job - @perimosocordiae @terrytangyuan if you have a better solution let me know
• pytest has deprecated the syntax pytest.warns(None) and it raises an error since v8. I have fixed this following the guidelines provided by pytest (Context manager to ensure no warnings are issued pytest-dev/pytest#9404 (comment)), which is to use warnings.catch_warnings(record=True) instead. This is what has been done for instance in scipy (MAINT: Replace use of pytest.warns(None) with warnings.catch_warnings scipy/scipy#15192)

[bellet]

This is ready to review/merge.

Note: I have not added the warnings.simplefilter("error") to filter errors as in all case we are either checking for a particular type of warning or to seek catch any warning/error.

[terrytangyuan]

LGTM. Thanks!

[perimosocordiae]

Importing the private function isn't ideal, but for now it should be ok.