CI: close sockets in SQL tests
closes #35660
closes #29514
 
Broken off from #35711
Nice this one has been hanging round for awhile. Think it also closes: https://github.com/pandas-dev/pandas/issues/29514 thanks @jbrockmendel  can the `@pytest.mark.xfail(reason="ResourceWarning #35660", strict=False)` added in #35672 be removed now? > can the @pytest.mark.xfail(reason="ResourceWarning #35660", strict=False) added in #35672 be removed now?

I expect so, yes