Improve test case `test_loop_is_closed_resource_warnings`

If this exception is expected then why not use `self.assertRaises` etc?

_Originally posted by @kumaraditya303 in https://github.com/python/cpython/pull/111983#discussion_r1393608295_
            


### Linked PRs
* gh-112187
* gh-112255
* gh-112261