TST: Check network URL statuses in tests
This run failed because a test that hit a url was able to download content but the page displayed a 404 page

https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=73924&view=logs&jobId=054c7612-f473-5cf0-0a65-77b54574553a&j=054c7612-f473-5cf0-0a65-77b54574553a&t=7218990d-7c28-52cc-5797-2fee2b0645b4

Checking more urls in our test suite and the response status. 

any reason we shouldn't backport? > any reason we shouldn't backport?

Fair, this would help the tests in 1.4.x @meeseeksdev backport 1.4.x Something went wrong ... Please have a look at my logs.