Improve test case `test_loop_is_closed_resource_warnings`

[dpr-0]

 If this exception is expected then why not use `self.assertRaises` etc?

Originally posted by @kumaraditya303 in #111983 (comment)

Linked PRs

• gh-112186: Improve test case test_loop_is_closed_resource_warnings #112187
• [3.12] gh-112186: Improve test case test_loop_is_closed_resource_warnings (GH-112187) #112255
• [3.11] gh-112186: Improve test case test_loop_is_closed_resource_warnings (GH-112187) #112261