ENH Remove import time warning for missing lzma
Also adds a test that lzma is not imported by default with `import pandas`.

- [x] closes #43461
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry: I'm not sure if a what's new entry is necessairy, and if yes, under which section of v1.4.0 should I put it?


cc @TomAugspurger

Hello @rth! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:













There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2021-11-28 21:37:44 UTC I think the code check at https://github.com/pandas-dev/pandas/blob/3467469e6311561183bfb3981ae9fd6dad2bc1d8/ci/code_checks.sh#L48-L50 could be updated to add lzma, rather than the test you added. can you merge master and addresss comments Thanks for the reviews (and for the reminder)! I addressed the comments.   pls merge master as well this is failing here: https://github.com/pandas-dev/pandas/runs/4125318814?check_suite_focus=true @jreback Yes, sorry for slow iterations. I'll look into it tomorrow.  needs to merge master Thanks for your patience @jreback . I merged master and removed lzma from the blocklist import (which fails) due to an optional import of lzma in numpy https://github.com/numpy/numpy/pull/18278 . Generally, since loading `shutil` will optionally load lzma (including in dependencies) it's hard do verify that it's never imported. 

I think the current version does  solve the initial issue of an unnecessary warning. thanks @rth very nice!