CLN: Clean up of CI scripts
Making the CI scripts simpler, and fixing typos (this was part of #26949, which couldn't be merged because `--dist=loadfile` was making the tests much slower).

@jreback I think we discussed this in the past, do you know why `import pandas; pandas.get_option("display.encoding")` is not getting the system locale?

I see that #23923 was closed, but I'm unsure on whether we're actually testing the locales or not. This should only affect the CI (and other than the small changes to the visualization of the skipped tests, there is no impact more than in the code clarity. So I don't think anything needs to be backported.