test: refactor: Remove confusing ignore_errors=True #36065

There is an unexplained ignore_errors=True in the internal _initialize_chain helper:

shutil.rmtree(cache_path('fees'), ignore_errors=True)

This is fine, because no error should happen. But it is a bit confusing, because an ignored error may lead to a later error anyway.

Fix that by failing early instead.

Also, re-write the simple block to pathlib.

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For details see: https://corecheck.dev/bitcoin/bitcoin/pulls/36065.

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