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@thomasjpfan : (taken from https://github.com/scikit-learn/scikit-learn/pull/22765/files#r825487547)
My mind is a little blown. So the current API for KFold.split has a groups parameter it never uses. Because of the inheritance structure, the API docs for KFold.split says the group labels are used in KFold.
(This comment is not actionable)
I haven't looked at how to proceed here. It certainly shouldn't claim it supports groups in the docs, and we need to check how to fix the API if we can.