Via #11570.
Both cross_val_score and cross_validate provide deprecation warnings when an error happens during the process, telling users to set error_score. But they don't expose error_score. We either need to expose error_score in these two functions or explicitly pass error_score='raise' to _fit_and_score.

I'm pretty agnostic which of the two we do. I guess it's less likely that some of the fold will error than that some parameter settings will error in GridSearchCV.