Tests create a bunch of .pkl and .pkl.lock files that don't get cleaned up

[lebrice]

(see title)

Tests in tests/functional/configuration/test_all_options.py (and perhaps other tests as well, but this is just an example) create a bunch of pkl files (and .pkl.lock) files, that don't get cleaned up after the tests.

The problem is that the tmp_path fixture isn't actually used, e.g. here: https://github.com/Epistimio/orion/blob/cbdfb8f6b762d4dbf60ed25e4b5507cf3936cf26/tests/functional/configuration/test_all_options.py#L294-L309

Files created:

dbhere.pkl
dbhere.pkl.lock
dblocal.pkl
dblocal.pkl.lock
experiment.pkl
experiment.pkl.lock
here.pkl
here.pkl.lock
local.pkl
local.pkl.lock
test.pkl
test.pkl.lock
there.pkl
there.pkl.lock