DOC: Formatting for DtypeWarning Docstring [ci skip]

[TomAugspurger]

xref : #20208

cc @jorisvandenbossche @hissashirocha

[TomAugspurger]

Stiill have the issue with the warning going to stdout. Here's the tail of the validation script.

No warning was issued.

>>> import os
>>> os.remove('test.csv')
scripts/validate_docstrings.py:268: DtypeWarning: Columns (0) have mixed types. Specify dtype option on import or set low_memory=False.
  runner.run(test)

################################################################################
################################## Validation ##################################
################################################################################

Errors found:
        No returns section found

[jorisvandenbossche]

For the validation script I think it is not that much of a problem. But for pytest, I think we don't want to generally capture and silence the warnings, as there might be others raised in docstrings that we want to get notified of.