tests: Use MakeUnique to construct objects owned by unique_ptrs

Summary:
As per title.

Backport of core PR14287:
https://github.com/bitcoin/bitcoin/pull/14287/files

Depends on D4588.

Several changes are missing because already in our codebase.

Test Plan:

ninja check bench-bitcoin

Reviewers: #bitcoin_abc, deadalnix

Reviewed By: #bitcoin_abc, deadalnix

Differential Revision: https://reviews.bitcoinabc.org/D4612