ENH: Add all warnings check to the assert_produces_warnings, and separate messages for each warning.
The function in question gets used in multiple places, that's why I felt it would be safer to preserve current behavior and API, and add an additional, optional parameter, which alters the behavior, enabling checking if all passed warning types get detected.

- [x] closes #56555 (Replace xxxx with the GitHub issue number)
- [x] [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
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [x] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

@rhshadrach Could you review this? Or direct me to someone who can? It's my first contribution here, so I don't know who to ask. I should be able to get to this tomorrow. @rhshadrach Could you take another look at this, when you have time? I addressed all change requests and resolved all merge conflicts. The docstring checks seem to still be failing, but it looks unrelated to the changes introduced in this PR. @rhshadrach I just applied a patch that fixed the python 3.9 unit test not passing. With this, this should be ready for review. 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. @Jorewin - are you interested in finishing this up? If not, I can add some tests to get it over the finish line. @rhshadrach If you want to, then go ahead. I just didn't have much time lately. @mroeschke - tests added for various combinations. Let me know if you see any others to add. Thanks @Jorewin  and @rhshadrach 