sphinx-build configuration is not being catched

[germa89]

As the title.

This has been discovered when updating sphinx to 7.3. See #3030
The PR sphinx-doc/sphinx#12203 introduced a warning that raises when the configuration is not pickable, aka cacheable.

Our sphinx_gallery_conf depends on module objects, hence it cannot be pickable.

This is not a big issue, as it can easily omitted: sphinx-doc/sphinx#12300 (comment)

And that is the recommended approach, since removing module objects from our configuration can take some time, and shows not much benefit.