From #5664 (comment), there are global seterr in test files:

sklearn/neural_network/tests/test_mlp.py:np.seterr(all='warn')
sklearn/neural_network/tests/test_rbm.py:np.seterr(all='warn')

Having this set globally affects other test files, and does not necessarily set the error state for the tests in that file. We should instead use a fixture to enable warnings, or use errstate in tests that need it.

On the other hand, we should consider investigating and avoiding these numpy errors where possible.