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Catch FutureWarning in SGDClassifier tests #9365

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@amueller

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@amueller

Some tests of SGDClassifier (and maybe SGDRegressor) are currently showing

 FutureWarning: max_iter and tol parameters have been added in <class 'sklearn.linear_model.stochastic_gradient.SGDClassifier'> in 0.19. If both are left unset, they default to max_iter=5 and tol=None. If tol is not None, max_iter defaults to max_iter=1000. From 0.21, default max_iter will be 1000, and default tol will be 1e-3.

If these are expected, we should catch them.

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