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Closes #2467

Notes:

• Made Telegram{User, Deprecation}Warning public and is accessible by telegram.utils.deprecate. We can change it later depending on Clear up imports policy #2468. Edit: Review now made it accessible via telegram.utils.warnings

• some warnings don't have stacklevels because they take place in another thread so its not possible to get the caller

• update some warning messages to be more descriptive.

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Looks good so far! Comments:

• Even if import policy is changed in #2468, we should probably rename utils.deprecate to utils.warnings already since that file is now no longer exclusively for deprecation
• Just a thought: Maybe it's worth adding a function utils.warnings.warn, which acts as a shortcut for warnings.warn with a default category=TelegramUserWarning?
• Another thought: Maybe PTB*Warning is better than TG*Warning b/c the warnings are issued by PTB and not by TG?