Silence some more warnings on clang

I put this changes on a MR as they can potentially produce some side effects

• Remove this from Lambdas capture that does not use it.
• Remove call to deprecated Python PyEval_InitThreads(). this is deprecated since Python 3.6, but only in 3.9 does nothing. In 3.7 and above the function is called after calling Py_Initialize(). I could not find information if it also gets called when using Py_InitializeEx() (our case) https://docs.python.org/3/c-api/init.html#c.PyEval_InitThreads
• On foreach avoid copying the object and use reference. this does not seem dangerous as the object is only read.