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Fix PandasAdapter causes crash or misattributed features #31079

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Reference Issues/PRs

Fixes #31051. See also #28731.

What does this implement/fix? Explain your changes.

Any other comments?

  • Added a unit test for the "series" case
  • Made the unit test index different from the default index, since the issue doesn't happen when using default indexes

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@glemaitre wondering if I can get a review?

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PandasAdapter causes crash or misattributed features
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