[MNT] include unit tests in sktime/tests in per module tests (#6353)

Fixes #6352

This PR adds coverage of `sktime/tests` for per module CI workflows.

.github/actions/test-component/action.yml

@@ -52,6 +52,7 @@ runs:
       run: >-
         python3
         -m pytest
+        sktime/tests
         sktime/${{ inputs.sktime-component-identifier }}
         --matrixdesign ${{ inputs.sub-sample-estimators }}
         --only_changed_modules ${{ inputs.test-affected-estimators }}