CI: Try with sqlalchemy warnings
- [ ] xref #50558 (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Thanks. Would the goal be to fully address https://github.com/pandas-dev/pandas/issues/50558? Not sure if the con.begin() will fix everything. If yes, then this should cover the issue.  cc @mroeschke I am optimistic that this will do it (hopefully :))

Do we want to keep the warnings active on main as well till we can test against alchemy 2.0 or should I remove the env variable again? I'm okay keeping the sqlalchemy warnings active on main (should hopefully aspire for sqlalchemy 2.0 compatibility so keeping these active will hopefully help)  CircleCI is green, this is a good sign :)

cc @MarcoGorelli  The lite tests yes, I don’t have MySQL or Postgres set up locally… i think ive got postgres running on my server.  would it help if i test this branch there? I am leaning towards not fixing the auto commit problems now, since @cdcadman mentioned that he has a branch tackling these. The text problems are all fixed. 

But generally speaking, help is welcome here :) @phofl , my branch needed some modifications due to 1.4.46 warnings, and I fixed it.  I don't mind if you use anything from that branch here: #48576 . This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this.