[BUG] Remove direct imports from sklearn in non-pytest code

[cjnolet]

There are a couple estimators that are importing sklearn directly and sklearn is not a direct dependency of cuML.

A very quick grep shows imports from sklearn in benchmarks, feature_extraction, preprocessing, & datasets.

We should consider mirroring very trivial imports, such as exceptions, in our codebase so that we don't have any dependencies on Scikit-learn outside of our pytests.

[github-actions]

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[github-actions]

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