Also xfail zlib errors when downloading newsgroups data

[JohnZed]

Download errors can manifest as zlib.error as well as IOException it turns out (just saw this in CI)

[JohnZed]

rerun tests

[dantegd]

@gpucibot merge

[codecov-io]

Codecov Report

Merging #3393 (01a5ed5) into branch-0.18 (550121b) will increase coverage by 0.14%.
The diff coverage is 85.77%.

@@               Coverage Diff               @@
##           branch-0.18    #3393      +/-   ##
===============================================
+ Coverage        71.48%   71.63%   +0.14%     
===============================================
  Files              207      210       +3     
  Lines            16748    16924     +176     
===============================================
+ Hits             11973    12123     +150     
- Misses            4775     4801      +26     

Impacted Files	Coverage Δ
python/cuml/decomposition/incremental_pca.py	94.70% <ø> (ø)
python/cuml/dask/ensemble/base.py	19.69% <30.43%> (+0.36%)	⬆️
python/cuml/ensemble/randomforestregressor.pyx	70.83% <44.44%> (ø)
...ython/cuml/dask/ensemble/randomforestclassifier.py	30.00% <50.00%> (+0.51%)	⬆️
python/cuml/dask/ensemble/randomforestregressor.py	35.08% <50.00%> (+0.54%)	⬆️
python/cuml/fil/fil.pyx	91.87% <60.00%> (-1.88%)	⬇️
python/cuml/ensemble/randomforestclassifier.pyx	73.72% <66.66%> (ø)
python/cuml/multiclass/multiclass.py	84.21% <84.21%> (ø)
python/cuml/model_selection/_split.py	90.35% <90.35%> (ø)
python/cuml/svm/svm_base.pyx	94.27% <91.30%> (-0.63%)	⬇️
... and 17 more

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