from sklearn.datasets import make_multilabel_classification
from sklearn.multioutput import ClassifierChain
from sklearn.linear_model import LogisticRegression
from sklearn.model_selection import GroupKFold

X, Y = make_multilabel_classification()
ClassifierChain(LogisticRegression(), 'random', cv=GroupKFold(3)).fit(X, Y)
# ValueError: The 'groups' parameter should not be None.