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Support "passthrough" in FeatureUnion #20699

@amueller

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@amueller

Right now setting an estimator to "passthrough" in FeatureUnion is not supported (the validation errors).
I think that is a bit inconsistent as we have it in ColumnTransformer and Pipeline. It's actually quite natural in FeatureUnion to keep the original features, so I think it's more a historical oversight that we don't allow this right now.

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