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.
Can we do this as a separate feature/PR so that we can get all of the tests passing on windows?

I think it's a good idea to have a better exception message and I'm happy to look into it but it feels like a separate issue from the test failures on windows.

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Looking a bit deeper into the code, there are at least two places where an exception would currently be raised, ``tslib.array_to_datetime`` and ``tslib.array_to_datetime`` - both called via ``tseries.tools.to_datetime``. The test could go in ``to_datetime`` - if there is an exception, check timezone types - but mismatched timezones wouldn't be the only reason for an exception there so we could mask a different problem.