Towards #17010.

Cleaning ups to whats_new.

Some cases which need fixes:

Not sure:

• BUG Ignores tags when estimator is a class in parametrize_with_checks (BUG Ignores tags when estimator is a class in parametrize_with_checks #16709) @thomasjpfan
• FIX Expose SelectorMixin through sklearn/feature_selection/ (FIX Expose SelectorMixin through sklearn/feature_selection/ #16132) @jnothman @rth
• FIX Explicit conversion of ndarray to object dtype. ([MRG] Explicit conversion of ndarray to object dtype #15832) @jnothman
• BUG Returns only public estimators in all_estimators ([MRG] BUG Returns only public estimators in all_estimators #15380) @thomasjpfan

Need entry:

• BUG Fixes HistGradientBoosting when warm_start is on + early_stopping is on + no validation (FIX Fixes HistGradientBoosting when warm_start is on + early_stopping is on + no validation #16663) @thomasjpfan
• ENH Add check for non binary variables in OneHotEncoder. (ENH Add check for non binary variables in OneHotEncoder. #16585) @cmarmo
• ENH Reduce memory footprint in MLP when shuffle activated (Reduce memory footprint when using stochastic optimizers with shuffle activated #14075) @glemaitre @rth @jnothman
• FIX avoid division by 0 warning in LabelPropagation (Label spreading bug fix #15946) @jnothman @glemaitre
• xfail related PRs.