BUG: fix test deleting temporary file before using it on windows

The version check was not valid for python3, though the whole logic can
be removed with a finally clause.
This requires that the savez tests need to cleanup the NpyzFile results
which still hold an open file descriptor.
TST: add a format 2.0 roundtrip test
Merge pull request #4773 from juliantaylor/win-testfix

BUG: fix test deleting temporary file before using it on windows