Fix ResourceWarning unclosed socket

[admirito]

This PR fixes issue #710 by properly closing the underlying socket. It first uses pool._put_conn to keep the connection in the pool, and later removes and closes it when the context manager exits.

I was unsure about the exact purpose of the ConnectonRemove class, so I made minimal changes to minimize the risk of breaking the code and there may be better solutions for fixing this issue.

For example, the urllib3.connectionpool.HTTPConnectionPool will utilize a weakref to terminate pool connections. By appending our connection to it, it will also take care of closing our connection. So another solution could be to modify the __exit__ in patch.ConnectionRemover method and add our connection to the pool:

class ConnectionRemover:
    ...

    def __exit__(self, *args):
        for pool, connections in self._connection_pool_to_connections.items():
            for connection in connections:
                if isinstance(connection, self._connection_class):
                    pool._put_conn(connection)

[graingert]

It looks like the tests are failing here, but the logs have expired @admirito can you rebase this on the default branch?

[graingert]

Can you also test that this is fixed by enabling filterwarnings=error in the pytest config

[graingert]

I've added some more commits to get the tests passing with filterwarnings=error #801

[graingert]

this seems to cause a problem in tests/integration/test_urllib3.py::test_post[https]