Drop test setting UCX global options via Dask config

[pentschev]

Support for setting UCX global options was dropped in
dask/distributed#4850, as the conflict of Dask
configs and UCX configs can be dangerous since both used to live in the
same namespace. Setting global UCX options can still be done via
environment variables, such as UCX_*, and is the preferred method now.

Fixes #627

[madsbk]

LGTM, thanks @pentschev

[pentschev]

Thanks for another fast review @madsbk !

[codecov-commenter]

Codecov Report

Merging #738 (9411629) into branch-21.10 (8e6ab70) will increase coverage by 1.54%.
The diff coverage is 86.41%.

@@               Coverage Diff                @@
##           branch-21.10     #738      +/-   ##
================================================
+ Coverage         87.63%   89.18%   +1.54%     
================================================
  Files                15       15              
  Lines              1658     1904     +246     
================================================
+ Hits               1453     1698     +245     
- Misses              205      206       +1     

Impacted Files	Coverage Δ
dask_cuda/cuda_worker.py	77.64% <ø> (ø)
dask_cuda/get_device_memory_objects.py	90.00% <0.00%> (+21.94%)	⬆️
dask_cuda/utils.py	81.49% <60.52%> (-5.78%)	⬇️
dask_cuda/proxify_device_objects.py	95.45% <80.00%> (+6.56%)	⬆️
dask_cuda/initialize.py	90.47% <84.00%> (+1.58%)	⬆️
dask_cuda/proxify_host_file.py	93.51% <90.66%> (-5.88%)	⬇️
dask_cuda/proxy_object.py	91.34% <94.44%> (+1.70%)	⬆️
dask_cuda/device_host_file.py	71.66% <100.00%> (+1.50%)	⬆️
dask_cuda/explicit_comms/dataframe/shuffle.py	98.69% <100.00%> (+0.65%)	⬆️
dask_cuda/is_device_object.py	92.59% <100.00%> (+29.62%)	⬆️
... and 14 more

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[pentschev]

@gpucibot merge