Fix caplog with logger.propagate=False

[carmocca]

What does this PR do?

Part of #9940

• Add a workaround for an issue with pytest's filterwarnings and caplog when the logger is not configured to propagate (our case).
• Add test for the logging output to avoid potential regressions.

This is not a bugfix as this was not broken.

Does your PR introduce any breaking changes? If yes, please list them.

None

Before submitting

• Was this discussed/approved via a GitHub issue? (not for typos and docs)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure your PR does only one thing, instead of bundling different changes together?
• [n/a] Did you make sure to update the documentation with your changes? (if necessary)
• Did you write any new necessary tests? (not for typos and docs)
• Did you verify new and existing tests pass locally with your changes?
• Did you list all the breaking changes introduced by this pull request?
• [n/a] Did you update the CHANGELOG? (not for typos, docs, test updates, or internal minor changes/refactorings)

PR review

• Is this pull request ready for review? (if not, please submit in draft mode)
• Check that all items from Before submitting are resolved
• Make sure the title is self-explanatory and the description concisely explains the PR
• Add labels and milestones (and optionally projects) to the PR so it can be classified

[github-actions]

Build Error! No Linked Issue found. Please link an issue or mention it in the body using #<issue_id>

[codecov]

Codecov Report

Merging #10577 (d889189) into master (247f5aa) will decrease coverage by 0%.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master   #10577   +/-   ##
=======================================
- Coverage      92%      92%   -0%     
=======================================
  Files         178      178           
  Lines       16249    16246    -3     
=======================================
- Hits        14908    14905    -3     
  Misses       1341     1341