Adding sklearn 0.24 support

[Neeratyoy]

What does this PR implement/fix? Explain your changes.

Adds support for sklearn 0.24, especially making example documentation support only this latest sklearn release.

How should this PR be tested?

Passing the new sklearn unit tests that will be spawned for sklearn 0.24 to run on Python 3.6 and higher.

Any other comments?

Main changes are wrt this feature added: scikit-learn/scikit-learn#17317

[Neeratyoy]

@mfeurer
This unit test uses a flow which was built on sklearn=0.19 using from sklearn.ensemble.forest import RandomForestClassifier.
0.23 allows the import of this with a warning that 0.24 will only support from sklearn.ensemble import RandomForestClassifier and rightly so, this unit test fails for sklearn=0.24.

We can skip the unit test for sklearn=0.24, or allow the unit test by using a different flow? For the latter, can I pick any flow?

[codecov-io]

Codecov Report

Merging #1016 (0e44a0b) into develop (ab793a6) will increase coverage by 0.02%.
The diff coverage is n/a.

@@             Coverage Diff             @@
##           develop    #1016      +/-   ##
===========================================
+ Coverage    88.04%   88.06%   +0.02%     
===========================================
  Files           36       36              
  Lines         4568     4568              
===========================================
+ Hits          4022     4023       +1     
+ Misses         546      545       -1     

Impacted Files	Coverage Δ
openml/testing.py	84.14% <0.00%> (+0.60%)	⬆️

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[mfeurer]

Approving this, but as I made a lot of changes myself, too, I'm also asking @PGijsbers to have a look at this.

[codecov-commenter]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 88.13%. Comparing base (ab793a6) to head (0ae7075).

Additional details and impacted files

@@             Coverage Diff             @@
##           develop    #1016      +/-   ##
===========================================
+ Coverage    88.04%   88.13%   +0.08%     
===========================================
  Files           36       36              
  Lines         4568     4568              
===========================================
+ Hits          4022     4026       +4     
+ Misses         546      542       -4     

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