Fail the test when a DeprecationWarning is raised

[carmocca]

What does this PR do?

Fixes #9939

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

None

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• [n/a] Did you write any new necessary tests? (not for typos and docs)
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cc @Borda @tchaton @carmocca @akihironitta

[tchaton]

LGTM !

[codecov]

Codecov Report

Merging #9940 (0c4fbf7) into master (ff3443f) will decrease coverage by 0%.
The diff coverage is n/a.

❗ Current head 0c4fbf7 differs from pull request most recent head 4d4dbdb. Consider uploading reports for the commit 4d4dbdb to get more accurate results

@@          Coverage Diff           @@
##           master   #9940   +/-   ##
======================================
- Coverage      92%     92%   -0%     
======================================
  Files         178     178           
  Lines       16246   16246           
======================================
- Hits        14905   14904    -1     
- Misses       1341    1342    +1