Improve MQTT type hints part 5

[jbouwh]

Proposed change

Improve type annotation for MQTT modules:

• scene
• select
• sensor

Type of change

• [ ] Dependency upgrade
• [ ] Bugfix (non-breaking change which fixes an issue)
• [ ] New integration (thank you!)
• [ ] New feature (which adds functionality to an existing integration)
• [ ] Deprecation (breaking change to happen in the future)
• [ ] Breaking change (fix/feature causing existing functionality to break)
• [x] Code quality improvements to existing code or addition of tests

Additional information

• This PR fixes or closes issue: fixes #
• This PR is related to issue:
• Link to documentation pull request:

Checklist

• [x] The code change is tested and works locally.
• [x] Local tests pass. Your PR cannot be merged unless tests pass
• [x] There is no commented out code in this PR.
• [x] I have followed the development checklist
• [x] The code has been formatted using Black (black --fast homeassistant tests)
• [ ] Tests have been added to verify that the new code works.

If user exposed functionality or configuration variables are added/changed:

• [ ] Documentation added/updated for www.home-assistant.io

If the code communicates with devices, web services, or third-party tools:

• [ ] The manifest file has all fields filled out correctly.
  Updated and included derived files by running: python3 -m script.hassfest.
• [ ] New or updated dependencies have been added to requirements_all.txt.
  Updated by running python3 -m script.gen_requirements_all.
• [ ] For the updated dependencies - a link to the changelog, or at minimum a diff between library versions is added to the PR description.
• [ ] Untested files have been added to .coveragerc.

To help with the load of incoming pull requests:

• [ ] I have reviewed two other open pull requests in this repository.

[home-assistant[bot]]

Hey there @emontnemery, mind taking a look at this pull request as it has been labeled with an integration (mqtt) you are listed as a code owner for? Thanks!

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[jbouwh]

This PR is a follow up on: https://github.com/home-assistant/core/pull/80913

[epenet]

scene/select look good. sensor is waiting on Sentinel: #81553