STYLE: use option_context almost always
Replaces `set_option` except when this function is directly tested.

Happy to revisit/revise if I missed anything. Thanks!

- [x] closes #38813
- [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
- [ ] whatsnew entry

@jreback, trying to understand if there's an actual failure here or just a timeout with Azure (and I don't see an option to retry). If you can point me to an error in the pr, I'd be happy to fix it.  thanks @chrismoradi 