ycb_scikit-learn_pr25747

what a new run launched now would send

FeatureUnion not working when aggregating data and pandas transform output selected
### Describe the bug

I would like to use `pandas` transform output and use a custom transformer in a feature union which aggregates data. When I'm using this combination I got an error. When I use default `numpy` output it works fine.

### Steps/Code to Reproduce

```python
import pandas as pd
from sklearn.base import BaseEstimator, TransformerMixin
from sklearn import set_config
from sklearn.pipeline import make_union

index = pd.date_range(start="2020-01-01", end="2020-01-05", inclusive="left", freq="H")
data = pd.DataFrame(index=index, data=[10] * len(index), columns=["value"])
data["date"] = index.date


class MyTransformer(BaseEstimator, TransformerMixin):
    def fit(self, X: pd.DataFrame, y: pd.Series | None = None, **kwargs):
        return self

    def transform(self, X: pd.DataFrame, y: pd.Series | None = None) -> pd.DataFrame:
        return X["value"].groupby(X["date"]).sum()


# This works.
set_config(transform_output="default")
print(make_union(MyTransformer()).fit_transform(data))

# This does not work.
set_config(transform_output="pandas")
print(make_union(MyTransformer()).fit_transform(data))
```

### Expected Results

No error is thrown when using `pandas` transform output.

### Actual Results

```python
---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
Cell In[5], line 25
     23 # This does not work.
     24 set_config(transform_output="pandas")
---> 25 print(make_union(MyTransformer()).fit_transform(data))

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/sklearn/utils/_set_output.py:150, in _wrap_method_output.<locals>.wrapped(self, X, *args, **kwargs)
    143 if isinstance(data_to_wrap, tuple):
    144     # only wrap the first output for cross decomposition
    145     return (
    146         _wrap_data_with_container(method, data_to_wrap[0], X, self),
    147         *data_to_wrap[1:],
    148     )
--> 150 return _wrap_data_with_container(method, data_to_wrap, X, self)

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/sklearn/utils/_set_output.py:130, in _wrap_data_with_container(method, data_to_wrap, original_input, estimator)
    127     return data_to_wrap
    129 # dense_config == "pandas"
--> 130 return _wrap_in_pandas_container(
    131     data_to_wrap=data_to_wrap,
    132     index=getattr(original_input, "index", None),
    133     columns=estimator.get_feature_names_out,
    134 )

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/sklearn/utils/_set_output.py:59, in _wrap_in_pandas_container(data_to_wrap, columns, index)
     57         data_to_wrap.columns = columns
     58     if index is not None:
---> 59         data_to_wrap.index = index
     60     return data_to_wrap
     62 return pd.DataFrame(data_to_wrap, index=index, columns=columns)

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/pandas/core/generic.py:5588, in NDFrame.__setattr__(self, name, value)
   5586 try:
   5587     object.__getattribute__(self, name)
-> 5588     return object.__setattr__(self, name, value)
   5589 except AttributeError:
   5590     pass

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/pandas/_libs/properties.pyx:70, in pandas._libs.properties.AxisProperty.__set__()

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/pandas/core/generic.py:769, in NDFrame._set_axis(self, axis, labels)
    767 def _set_axis(self, axis: int, labels: Index) -> None:
    768     labels = ensure_index(labels)
--> 769     self._mgr.set_axis(axis, labels)
    770     self._clear_item_cache()

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/pandas/core/internals/managers.py:214, in BaseBlockManager.set_axis(self, axis, new_labels)
    212 def set_axis(self, axis: int, new_labels: Index) -> None:
    213     # Caller is responsible for ensuring we have an Index object.
--> 214     self._validate_set_axis(axis, new_labels)
    215     self.axes[axis] = new_labels

File ~/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/pandas/core/internals/base.py:69, in DataManager._validate_set_axis(self, axis, new_labels)
     66     pass
     68 elif new_len != old_len:
---> 69     raise ValueError(
     70         f"Length mismatch: Expected axis has {old_len} elements, new "
     71         f"values have {new_len} elements"
     72     )

ValueError: Length mismatch: Expected axis has 4 elements, new values have 96 elements
```

### Versions

```shell
System:
    python: 3.10.6 (main, Aug 30 2022, 05:11:14) [Clang 13.0.0 (clang-1300.0.29.30)]
executable: /Users/macbookpro/.local/share/virtualenvs/3e_VBrf2/bin/python
   machine: macOS-11.3-x86_64-i386-64bit

Python dependencies:
      sklearn: 1.2.1
          pip: 22.3.1
   setuptools: 67.3.2
        numpy: 1.23.5
        scipy: 1.10.1
       Cython: None
       pandas: 1.4.4
   matplotlib: 3.7.0
       joblib: 1.2.0
threadpoolctl: 3.1.0

Built with OpenMP: True

threadpoolctl info:
       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: /Users/macbookpro/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/numpy/.dylibs/libopenblas64_.0.dylib
        version: 0.3.20
threading_layer: pthreads
   architecture: Haswell
    num_threads: 4

       user_api: openmp
   internal_api: openmp
         prefix: libomp
       filepath: /Users/macbookpro/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/sklearn/.dylibs/libomp.dylib
        version: None
    num_threads: 8

       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: /Users/macbookpro/.local/share/virtualenvs/3e_VBrf2/lib/python3.10/site-packages/scipy/.dylibs/libopenblas.0.dylib
        version: 0.3.18
threading_layer: pthreads
   architecture: Haswell
    num_threads: 4
```

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