Since we have considered this warning a functional requirement, surely we should assert that it actually happens.

Perhaps we should copy numpy's `[assert_warns](https://github.com/numpy/numpy/blob/master/numpy/testing/utils.py#L1453)`. (And don't just import it: the return value was `None` in 1.6.)

I'm not entirely satisfied with that either, in that it only allows you to test the first warning, and then only by class. The alternative may be a bit overblown, but can be found at https://gist.github.com/jnothman/5650845