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.
Oh I see. There doesn't seem to be a single place where we could put that check. At least, by the time you get to the exception that's raised, you can't tell if you have both dateutil and pytz zones.

In principle though, I think it's something we can check because all ``pytz`` timezones except UTC have a common base class and you can assume anything else is dateutil.