Screen for sphinx warnings in nightly CI jobs

[lagru]

Description

... instead of on Azure. I feel like this is the better place to catch warnings early.

The failure addressed by #7226 prompted this change.

Checklist

• A descriptive but concise pull request title
• Docstrings for all functions
• Unit tests
• A gallery example in ./doc/examples for new features
• Contribution guide is followed

Release note

Summarize the introduced changes in the code block below in one or a few sentences. The
summary will be included in the next release notes automatically:

...

[stefanv]

I think this would be an improvement. But who gets notified of nightly failures, and how?

[lagru]

But who gets notified of nightly failures, and how?

The "Test Nightly" job is triggered on pushes to main. So the core dev creating the merge should be notified explicitly. And a failure should be somewhat visible on our main GitHub page.

It's not ideal but I think we discussed this problem somewhere earlier and found this to be the best solution. We could look into creating an issue automatically on failure?

[stefanv]

Yes, I think that's the solution!

[lagru]

Yes, I think that's the solution!

Which one? The "raise an issue" one?

[stefanv]

Yes, because I don't think the notification route is very clear otherwise.

[mkcor]

Happy to merge this one and create an issue so we don't forget to set up the automatic issue creation upon failure of the "Test Nightly" job 🙃