DOC: CI failure due to fsspec deprecation warning
There is CI failure in the ```Web/Docs```, under ```check ipython directive errors``` on github actions, noticed on #32831 and on #32830 

The error that is being shown:

```
Run ! grep -B1 "^<<<-------------------------------------------------------------------------$" sphinx.log
  FutureWarning,
<<<-------------------------------------------------------------------------
##[error]Process completed with exit code 1.
```

---

The root cause of the problem, is a warning that is generated during the creation of the docs.

```
>>>-------------------------------------------------------------------------
Warning in /home/runner/work/pandas/pandas/doc/source/user_guide/scale.rst at block ending on line 254
 Specify :okwarning: as an option in the ipython:: block to suppress this message
 ----------------------------------------------------------------------------
 /home/runner/miniconda3/envs/pandas-dev/lib/python3.7/site-packages/fsspec/implementations/local.py:33: FutureWarning: The default value of auto_mkdir=True has been deprecated and will be changed to auto_mkdir=False by default in a future release.
   FutureWarning,
<<<-------------------------------------------------------------------------
```

