TST: check_comprehensiveness compat for --lf and -k
- [x] closes #23930
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

cc @TomAugspurger is this roughly what you had in mind? Yeah, this seems nice. I want both of

1. Checks for comprehensive tests by default
2. The ability to select a subset without error

so I think this looks about ideal.