Fix slow tests and warnings

[janfb]

• more fixes for slow tests. They are passing locally on python3.8 but somehow fail on GitHub actions.

• some formatting changes in MCMC related warnings.

• CD passing for MNLE

• CI passing for new warning strings.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 75.99%. Comparing base (2fd89a8) to head (9177824).
Report is 2 commits behind head on main.

Additional details and impacted files

@@            Coverage Diff             @@
##             main    #1211      +/-   ##
==========================================
- Coverage   84.43%   75.99%   -8.45%     
==========================================
  Files          97       97              
  Lines        7673     7677       +4     
==========================================
- Hits         6479     5834     -645     
- Misses       1194     1843     +649     

Flag	Coverage Δ
unittests	75.99% <ø> (-8.45%)	⬇️

Flags with carried forward coverage won't be shown. Click here to find out more.

Files	Coverage Δ
sbi/diagnostics/sbc.py	95.77% <ø> (ø)
sbi/inference/posteriors/mcmc_posterior.py	85.93% <ø> (-0.69%)	⬇️
sbi/inference/posteriors/rejection_posterior.py	80.48% <ø> (-12.20%)	⬇️
sbi/neural_nets/mnle.py	100.00% <ø> (ø)
sbi/samplers/mcmc/slice_numpy.py	92.05% <ø> (ø)
sbi/utils/sbiutils.py	78.43% <ø> (-8.18%)	⬇️
sbi/utils/user_input_checks.py	76.31% <ø> (ø)
sbi/utils/user_input_checks_utils.py	89.78% <ø> (ø)

... and 22 files with indirect coverage changes