This PR is essentially the first commit of #12011. If you'd rather merge #12011 directly, feel free to close it.
It is a numpy-wide refactor of pickle importing and pickle.dump(s) function testing. Most notably:

• Some pickle.dumps tests that I did not catch in TST, MAINT: Update pickling tests by making them loop over all protocols #12090 that are now looped over for every pickle protocol
• Some refactoring about how pickle is imported internally: since we don't want a big conditional block such as:

if sys.version_info[0] >= 3:
    if sys.version_info[1] in (6, 7):
        try:
            import pickle5 as pickle
        except ImportError:
            import pickle
    else:
        import pickle
else:
    import cPickle as pickle

each time we import pickle in python, we import it once this way, in numpy.core.numeric, and then each time pickle is used in other files, we import it from numpy.core.numeric. The only time we import pickle another way is in numpy/core/setup.py

Now, numpy should be clean pickle-wise, meaning:

• there is no more np.ndarray.dump(s) call in the test suite.
• there is a consistent pickle importing behavior
• each time pickle.dumps is tested, it is tested for every protocol.