RuntimeWarning: Proactor event loop does not implement add_reader family of methods required for zmq

[cacti77]

I've got automated tests for Jupyter notebooks in an Azure DevOps pipeline that runs each notebook like this in Python 3.9 on Windows:
jupyter nbconvert --to html --execute my-notebook.ipynb

Normally, before all my tests I like to set PYTHONWARNINGS=error, so that the tests will fail if any warnings crop up. However if I do this, the execution of each notebook seems to get stuck in a (permanent?) loop like this below; I end up having to cancel the pipeline run manually.

[NbConvertApp] ERROR | Error occurred while starting new kernel client for kernel 5492de13-625c-40ec-85f7-8e604be9b877: Proactor event loop does not implement add_reader family of methods required for zmq. Registering an additional selector thread for add_reader support via tornado. Use `asyncio.set_event_loop_policy(WindowsSelectorEventLoopPolicy())` to avoid this warning.
Exception in callback _AsyncPoller.poll.<locals>.<lambda>(<Future cancelled>) at C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\_future.py:107
handle: <Handle _AsyncPoller.poll.<locals>.<lambda>(<Future cancelled>) at C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\_future.py:107>
Traceback (most recent call last):
  File "C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\asyncio\events.py", line 80, in _run
    self._context.run(self._callback, *self._args)
  File "C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\_future.py", line 107, in <lambda>
    lambda f: self._unwatch_raw_sockets(loop, *raw_sockets)
  File "C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\asyncio.py", line 132, in _unwatch_raw_sockets
    selector = _get_selector(loop)
  File "C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\asyncio.py", line 60, in _get_selector_windows
    warnings.warn(
RuntimeWarning: Proactor event loop does not implement add_reader family of methods required for zmq. Registering an additional selector thread for add_reader support via tornado. Use `asyncio.set_event_loop_policy(WindowsSelectorEventLoopPolicy())` to avoid this warning.

Is this issue related to zeromq/pyzmq#1423? My tests were with Python 3.9.13 and pyzmq 26.2.0 on Windows. pip installing tornado (6.4.1) makes no difference.

If I don't set PYTHONWARNINGS then each notebook runs successfully, but with:

C:\hostedtoolcache\windows\Python\3.9.13\x64\lib\site-packages\zmq\_future.py:724: RuntimeWarning: Proactor event loop does not implement add_reader family of methods required for zmq. Registering an additional selector thread for add_reader support via tornado. Use `asyncio.set_event_loop_policy(WindowsSelectorEventLoopPolicy())` to avoid this warning.
  self._get_loop()

So, does nbconvert code need to call asyncio.set_event_loop_policy(WindowsSelectorEventLoopPolicy()) when running on Windows, as suggested by zeromq/pyzmq#1423? I'd prefer to test my Jupyter notebooks with PYTHONWARNINGS=error.

Output of jupyter --version:

Selected Jupyter core packages...
IPython          : 8.18.1
ipykernel        : 6.29.5
ipywidgets       : 8.1.5
jupyter_client   : 8.6.3
jupyter_core     : 5.7.2
jupyter_server   : 2.14.2
jupyterlab       : 4.2.5
nbclient         : 0.10.0
nbconvert        : 7.16.4
nbformat         : 5.10.4
notebook         : 7.2.2
qtconsole        : not installed
traitlets        : 5.14.3