CI: Fixing most obvious mypy errors, and adding mypy settings #2851
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xref #2823
We currently ignore mypy errors in the CI, since lots of things are broken. In preparation to fix the actual errors, this PR fixes the main issues, so the CI (or running mypy locally) reports the actual errors.
I'm thinking on organizing a sprint to get help fixing all errors. I will be creating subissues of #2823 with fixes to specific modules, so problems in an issue can be addressed by a single contributor in a reasonable time.