add a test depicting the `set_event_loop_policy()` issue

[slayoo]

In test_notebooks, we have:

# pylint: disable=wrong-import-position
# https://bugs.python.org/issue37373
import sys

if sys.platform == "win32" and sys.version_info[:2] >= (3, 7):
    import asyncio

    asyncio.set_event_loop_policy(asyncio.WindowsSelectorEventLoopPolicy())

which is not covered by CI (i.e., moving it around does not trigger a CI failure, while the code suggests that it need to be placed before other imports).

We should add a test file that depicts the problem

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