TST7337: Fix test failures on windows.

closes #7337

Use dateutil.tz.tzutc() to construct UTC timezone instead of dateutil.tz.gettz('UTC')
Update docs to reflect this.
Tidy up examples in the timezones section of the docs.
do you test interactions somewhere where you say are creating a DatetimeIndex with a Timestamp of 'UTC', but using a dateutil_tz_utc in another element?