Tests for non callback estimator in a callback meta-estimator and vice versa

[FrancoisPgm]

Add warnings and test for those warnings for situations where :

• 1. a non callback supporting estimator is used in a callback supporting meta-estimator
• 2. a callback supporting estimator is used in a non callback supporting meta-estimator

Right now the warnings for the 1st case work, but the test with n_jobs=2 and prefer="processes" fails although when trying in the terminal I do see the warning, so I think it is an issue with the way pytest handles subprocesses.

For the second case, the warnings don't work when there is parallelization (n_jobs=2), because the children threads cannot access the stack from the parent thread. I'm not sure there is a way to bypass that limitation.

[github-actions]

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cython-lint

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/home/runner/work/scikit-learn/scikit-learn/sklearn/cluster/_hdbscan/_tree.pyx:786:19: unnecessary set + generator (just use a set comprehension)

_{Generated for commit: cbfb2e4. Link to the linter CI: here}