Running the tests on opeml datasets throws a number of ResourceWarning in the last development version

Step to reproduce the issue

$ pytest -v sklearn/datasets/tests/test_openml.py -Werror

Expected result

The tests pass

Actual result

The tests fail with messages like

E               Traceback (most recent call last):
E                 File "/home/cmarmo/software/scikit-learn/sklearn/datasets/_openml.py", line 59, in wrapper
E                   return f(*args, **kw)
E               ResourceWarning: unclosed file <_io.BufferedReader name='/home/cmarmo/software/scikit-learn/sklearn/datasets/tests/data/openml/2/api-v1-json-data-qualities-2.json.gz'>

Additional comments

• The exception seems to be always thrown from sklearn/datasets/_openml.py from the wrapper function:
  

  scikit-learn/sklearn/datasets/_openml.py

  Lines 57 to 70 in 74a37de

  	def wrapper(*args, **kw):
  	if data_home is None:
  	return f(*args, **kw)
  	try:
  	return f(*args, **kw)
  	except HTTPError:
  	raise
  	except Exception:
  	warn("Invalid cache, redownloading file", RuntimeWarning)
  	local_path = _get_local_path(openml_path, data_home)
  	if os.path.exists(local_path):
  	os.unlink(local_path)
  	return f(*args, **kw)
  	return wrapper

• Please open one PR for each test file with a failure reported with the command above instead of one single PR that tries to fix everything at once.