Pytest plugins in a non-top-level conftest is no longer supported

### Describe the bug

When running pytest, an issue pops up due to https://github.com/scikit-learn/scikit-learn/blob/7116165f493998cde7989a29458f36bdfb0a9ab5/sklearn/conftest.py#L24-L25

I was able to fix this by moving the offending line to `scikit-learn/conftest.py` instead. Not sure if this is a genuine bug, or if I had something misconfigured on my end. Edit: I was using pytest version `6.2.5`

### Steps/Code to Reproduce

`$ pytest`

### Expected Results

Pytest runs with no errors.

### Actual Results

```python-traceback
======================================================= ERRORS ========================================================
____________________________________________ ERROR collecting test session ____________________________________________
Defining 'pytest_plugins' in a non-top-level conftest is no longer supported:
It affects the entire test suite instead of just below the conftest as expected.
  R:\work\scikit-learn\sklearn\conftest.py
Please move it to a top level conftest file at the rootdir:
  R:\work\scikit-learn
For more information, visit:
  https://docs.pytest.org/en/stable/deprecations.html#pytest-plugins-in-non-top-level-conftest-files
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! Interrupted: 1 error during collection !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
================================================== 1 error in 0.56s ===================================================
```

### Versions

```shell
System:
    python: 3.9.7 (default, Sep 16 2021, 16:59:28) [MSC v.1916 64 bit (AMD64)]
executable: R:\ProgramFiles\anaconda3\envs\scikit-dev\python.exe
   machine: Windows-10-10.0.19043-SP0

Python dependencies:
      sklearn: 1.1.dev0
          pip: 21.2.4
   setuptools: 58.0.4
        numpy: 1.21.5
        scipy: 1.7.3
       Cython: 0.29.26
       pandas: 1.3.5
   matplotlib: 3.5.1
       joblib: 1.1.0
threadpoolctl: 3.0.0

Built with OpenMP: True

threadpoolctl info:
       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: R:\ProgramFiles\anaconda3\envs\scikit-dev\Lib\site-packages\numpy\.libs\libopenblas.XWYDX2IKJW2NMTWSFYNGFUWKQU3LYTCZ.gfortran-win_amd64.dll
        version: 0.3.17
threading_layer: pthreads
   architecture: Zen
    num_threads: 12

       user_api: openmp
   internal_api: openmp
         prefix: vcomp
       filepath: C:\Windows\System32\vcomp140.dll
        version: None
    num_threads: 12
```

COMMENT:
Running `pytest sklearn` should resolve the issue.

When looking around our docs, we do recommend contributors to run:

```bash
pytest sklearn
```

For example, [the README](https://github.com/scikit-learn/scikit-learn#testing) or [Contributing guide](https://scikit-learn.org/stable/developers/contributing.html#pull-request-checklist) recommend using `pytest ___`

**Side note**: We do want `conftest.py` to be in the `sklearn` directory so that `pytest --pyargs sklearn` works when scikit-learn is installed with a wheel. (`conftest.py` is placed in the wheel so other packagers such as debian can run `pytest --pyargs sklearn` to test the wheel directly while also loading fixtures correctly.)

Labels: Bug, Needs Triage