[MNT] improve local testing experience, setup.cfg feedback

[fkiraly]

Some feedback and potential actions from today's meetup.

Related to setup.cfg, we should consider which parameters we keep in there.

• --cov and --cov-report parameters are unnecessary for local testing, and they increase test collection time significantly, see [BUG] long test collection time and test timeouts #6344. These could be removed, and included in the makefile or GHA file instead.
• @yarnabrina mentioned that -n auto, for him, increases test time instead of shortening it. @Xinyu-Wu-0000 also reported long test collection times.
• the --matrixdesign True flag seems to cause locally collected tests to result in some estimators not being collected. It should probably be switched off in setup.cfg and turned on in the makefile.

Further, possibly unrelated, a change in HolidayFeaturesTransformer was not collected in local tests by TestAllTransformers - only in TestAllEstimators and TestAllObjects.