As discussed in #1549, utils.check_arrays() does not check the shape or ndim of input arrays. However, the docstring suggests that it should: "Checks whether all objects in arrays have the same shape or length."

To me, I think what we need is to break check_arrays() into several sub-functions or maybe a class:

1. Check sparse / dense
2. Check dtype
3. Check first dimension
4. Check all dimensions