REF: Unify _set_noconvert_dtype_columns for parsers
- [x] xref #39345
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them

I unified the code which led to a bugfix. The test failed for the python parser case previously
@jreback green thanks !