Capture python warnings as logs

[AlexandreYang]

What does this PR do?

Option 1: Capture python warnings as logs (SELECTED)

Just use logging.captureWarnings(True)

Option 2: Capture python warning as AgentCheck.warning(), so that they are visible in Datadog UI.

Would require patching warning similar to what logging does: https://github.com/python/cpython/blob/master/Lib/logging/__init__.py#L2175-L2207

This is more in line with:

Warning messages are typically issued in situations where it is useful to alert the user of some condition in a program, where that condition (normally) doesn’t warrant raising an exception and terminating the program. For example, one might want to issue a warning when a program uses an obsolete module.
https://docs.python.org/3/library/warnings.html

Motivation

Python warnings are printed to stdout which make then hard to parse for logs integration.

Additional Notes

Review checklist (to be filled by reviewers)

• Feature or bugfix MUST have appropriate tests (unit, integration, e2e)
• PR title must be written as a CHANGELOG entry (see why)
• Files changes must correspond to the primary purpose of the PR as described in the title (small unrelated changes should have their own PR)
• PR must have changelog/ and integration/ labels attached

[ofek]

Mind if we put this in the log module's init_logging?

[hithwen]

Don't think option 2 really makes sense

[AlexandreYang]

Don't think option 2 really makes sense

@hithwen why is that ?

Isn't Python warnings conceptually more aligned with AgentCheck.warning() ?

Warning messages are typically issued in situations where it is useful to alert the user of some condition in a program, where that condition (normally) doesn’t warrant raising an exception and terminating the program. For example, one might want to issue a warning when a program uses an obsolete module.
https://docs.python.org/3/library/warnings.html

[ofek]

We need to be in control of what appears in our UI

[AlexandreYang]

We need to be in control of what appears in our UI

That's a good point ! 👍

[codecov]

Codecov Report

Merging #5730 into master will increase coverage by 5.96%.
The diff coverage is n/a.

Impacted Files	Coverage Δ
dns_check/tests/mocks.py	96.96% <0.00%> (ø)	⬆️
eks_fargate/datadog_checks/eks_fargate/__init__.py	100.00% <0.00%> (ø)	⬆️
disk/tests/mocks.py	100.00% <0.00%> (ø)	⬆️
disk/tests/utils.py	100.00% <0.00%> (ø)	⬆️
disk/tests/common.py	63.63% <0.00%> (ø)	⬆️
disk/tests/metrics.py	100.00% <0.00%> (ø)	⬆️
apache/tests/common.py	100.00% <0.00%> (ø)	⬆️
cilium/tests/common.py	100.00% <0.00%> (ø)	⬆️
disk/tests/conftest.py	85.71% <0.00%> (ø)	⬆️
airflow/tests/common.py	100.00% <0.00%> (ø)	⬆️
... and 787 more