Describe the workflow you want to enable

With #26120, we got FixedThresholdClassifier and TunedThresholdClassifierCV but only for binary classification. The next logical step would be to extend it to the multiclass setup.

Describe your proposed solution

For FixedThresholdClassifier, one could allow for a cost matrix instead of a single threshold.

TunedThresholdClassifierCV seems straight forward (or I'm missing something).

Describe alternatives you've considered, if relevant

No response

Additional context

No response