MRG, MAINT: Cleaner resource use and test tols

[larsoner]

Testing on my Windows machine I found that some of the tolerances were too strict (minor linalg differences when reg=0 in beamformer or for gamma_map). Also I noticed that there were un-freed resources in test_what.py, which I think is causing this in master on Azure:

mne\io\tests\test_utils.py .                                             [ 41%]
##[error]Cmd.exe exited with code '-1073741819'.

This fixes it by being safer about fiff_open.

[larsoner]

Actually I think the Azure error is really numpy/numpy#16913. I'll do a full run here with -vvs just to confirm, but it does seem to be the case that a simple np.dot is the problem in this Azure run.

[agramfort]

LGTM provided CIs are green