(fix): download using httpx.get

[ilan-gold]

• Attempts to fix failures like https://github.com/scverse/anndata/actions/runs/14111015220/job/39529422591#step:11:12500 where it seems that only a part of the file is downloaded
• Tests added
• Release note added (or unnecessary)

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 84.50%. Comparing base (3e2ddec) to head (b6cb54a).
Report is 40 commits behind head on main.

Additional details and impacted files

@@            Coverage Diff             @@
##             main    #1943      +/-   ##
==========================================
- Coverage   86.60%   84.50%   -2.10%     
==========================================
  Files          45       45              
  Lines        6821     6821              
==========================================
- Hits         5907     5764     -143     
- Misses        914     1057     +143     

Files with missing lines	Coverage Δ
src/anndata/experimental/merge.py	86.72% <ø> (ø)

... and 7 files with indirect coverage changes

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