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[Python] Find and resolve unclosed socket ResourceWarnings #14760

@milesgranger

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@milesgranger

Describe the enhancement requested

#14729 Addresses test warnings, but there are seemingly harder-to-find ResourceWarnings for unclosed sockets:

opt/conda/envs/arrow/lib/python3.7/site-packages/pyarrow/tests/parquet/test_dataset.py::test_read_partitioned_directory_s3fs_wrapper[False]
/opt/conda/envs/arrow/lib/python3.7/site-packages/_pytest/fixtures.py:907: ResourceWarning: unclosed <socket.socket fd=256, family=AddressFamily.AF_INET, type=SocketKind.SOCK_STREAM, proto=6, laddr=('127.0.0.1', 37954), raddr=('127.0.0.1', 58351)>
fixture_result = fixturefunc(**kwargs)
Enable tracemalloc to get traceback where the object was allocated.
See https://docs.pytest.org/en/stable/how-to/capture-warnings.html#resource-warnings for more info.

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