Actually show deprecation warnings and their line level [2/2]

[carmocca]

What does this PR do?

Issue

DeprecationWarnings weren't being shown for two reasons:

1. Need to set the stacklevel
2. DeprecationWarnings needed to be enabled

Solution

• Set the appropriate stacklevel for most calls
• Creates our own LightningDeprecationWarning and enable it
• Groups warning-related functions into warnings.py
• Add a stderr special test for warnings

To decide

Since DeprecationWarnings haven't been shown, we need to decide if we should delay their removal versions.

Option 👀 : do nothing - an argument is that we already mention what's been deprecated in the release notes
Option 🚀 : Only delay the removal version of warnings set to be removed in 1.4
Option ❤️ : Do it for all

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?
• [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
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[codecov]

Codecov Report

Merging #8002 (fa74779) into master (a23a699) will decrease coverage by 5%.
The diff coverage is 100%.

@@           Coverage Diff           @@
##           master   #8002    +/-   ##
=======================================
- Coverage      92%     87%    -5%     
=======================================
  Files         207     210     +3     
  Lines       13497   13590    +93     
=======================================
- Hits        12367   11821   -546     
- Misses       1130    1769   +639     

[awaelchli]

not fully convinced about splitting up the the rank_zero functions but if circular imports are trouble, ok sounds fair :)

[tchaton]

LGMT !