MAINT: Fix errors seen on new python 3.8

One of this is a small issue exposed by new warnings, the others are
simply adapting our test suit to stricter integer coercion rules
(avoiding float -> int conversions).

The last one is that we assumed pickle protocol 5 would be in 3.8.
It is not yet included in the alpha releases at least.
It seems not necessary for the numpy test suit to check whether
it is available based on the python version so removing that test.
(Also testing if the pickle5 module works seems unnecessary.)

Closes gh-13412

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