Filterwarning in under-review decorator

[braun-steven]

The custom filterwarning in the under-review decorator leads to global rules being overwritten:

https://github.com/Lightning-AI/lightning-bolts/blob/c26c8d8f407de386038d5fb13297233a8aa052e7/pl_bolts/utils/stability.py#L75

Due to this, the following will still print the warnings (multiple times):

import warnings

warnings.simplefilter("ignore")  # This should ignore all warnings
warnings.warn("test")  # "test" is ignored
import pl_bolts  # Raises multiple "UnderReviewWarning"

[stale]

This issue has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.

[Borda]

Yes we probably need to set the local scope for logging, would you be interested in sending PR and taking inspiration from: https://github.com/Lightning-AI/lightning/blob/5d7669af4606f9e20c66fd7e3cd26a5d730cc2cc/src/lightning/__init__.py#L5-L7