Keep .X when setting filename to None

[eroell]

• Closes .X is lost when setting anndata.filename to None #1723
• Tests added
• Release note added (or unnecessary)

Does _to_memory_mode only get called by the filename setter anyways? And are there reasons to not just call to_memory from this setter?

If not worth to go in depths here anymore, the removed _ would fix a bug for now I guess

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 84.45%. Comparing base (3260222) to head (5da19ac).

Additional details and impacted files

@@            Coverage Diff             @@
##             main    #1724      +/-   ##
==========================================
- Coverage   86.93%   84.45%   -2.49%     
==========================================
  Files          40       40              
  Lines        6039     6039              
==========================================
- Hits         5250     5100     -150     
- Misses        789      939     +150     

Files with missing lines	Coverage Δ
src/anndata/_core/file_backing.py	91.07% <100.00%> (ø)

... and 8 files with indirect coverage changes