[MNT] Check versions in wheels workflow

[szepeviktor]

From sktime/skpro#583 (review)

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.
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Additional details and impacted files

@@           Coverage Diff           @@
##             main    #1948   +/-   ##
=======================================
  Coverage        ?   87.07%           
=======================================
  Files           ?      136           
  Lines           ?     8624           
  Branches        ?        0           
=======================================
  Hits            ?     7509           
  Misses          ?     1115           
  Partials        ?        0           

Flag	Coverage Δ
cpu	87.07% <ø> (?)
pytest	87.07% <ø> (?)

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