ENH Remove import time warning for missing lzma
Also adds a test that lzma is not imported by default with `import pandas`.

- [x] closes #43461
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry: I'm not sure if a what's new entry is necessairy, and if yes, under which section of v1.4.0 should I put it?


cc @TomAugspurger
