TST: use env variable instead of pytest option for testing ArrayManager
I noticed a problem with the current `--array-manager` pytest option to test the ArrayManager, while checking the window tests. 

The problem with the option is that `conftest.py` files are read first, *before* handling the option in `pytest_sessionstart`. This means that any DataFrame or Series that gets constructed on *import* of a `conftest.py` file, has already been created before the setting is changed, and will thus be created with the wrong manager. 
Example of this is a DataFrame that is not created *inside* a (fixture) function, but created top-level in the conftest.py file (or eg used in parametrization). 

Luckily we don't have too many of those, but one example in window/conftest.py:

https://github.com/pandas-dev/pandas/blob/74a68980d116c843d04b3ccb6ab9368f19637d9b/pandas/tests/window/conftest.py#L352-L367

or one example in the toplevel conftest.py:

https://github.com/pandas-dev/pandas/blob/74a68980d116c843d04b3ccb6ab9368f19637d9b/pandas/conftest.py#L597-L608

So to avoid needing to rewrite those (and continue to ensure such cases don't get added), I don't see another way as using the environment variable approach instead of the pytest option (although the option is much easier to use interactively ..)

cc @jreback 