`ValueError` raised by `FeatureUnion._set_output` with `FunctionTransform` that outputs a pandas `Series` in scikit-learn version 1.6

### Describe the bug

Hello,

I'm currently working with scikit-learn version 1.6, and I encountered a regression that wasn't present in version 1.4.

The following minimal code computes two features — the cumulative mean of age and weight grouped by id. Each transformation function returns a pandas.Series:



When I run this code with scikit-learn 1.6, I get the following error:

After investigation, I found that the issue occurs because each transformer returns a Series, not a DataFrame. If I update the functions to return DataFrame objects instead, the error disappears.

Interestingly, in scikit-learn 1.4, the same code works correctly even when the functions return Series.


Do you have any explanation for why this changed between version 1.4 and 1.6 ?

Thanks in advance for your help!

### Steps/Code to Reproduce


```python
import pandas as pd
from sklearn.pipeline import FunctionTransformer, FeatureUnion
import numpy as np

def compute_cumulative_mean_age(df: pd.DataFrame) -> pd.Series:
    return (
        df["age"]
        .astype(float)
        .groupby(df["id"])
        .expanding()
        .mean()
        .droplevel(level="id")
        .reindex(df.index)
        .rename("cumulative_mean_age")
    )

def compute_cumulative_mean_weight(df: pd.DataFrame) -> pd.Series:
    return (
        df["poids"]
        .astype(float)
        .groupby(df["id"])
        .expanding()
        .mean()
        .droplevel(level="id")
        .reindex(df.index)
        .rename("cumulative_mean_weight")
    )

def compute_features(df: pd.DataFrame) -> pd.DataFrame:
    feature_union = FeatureUnion(
        [
            ("cumulative_mean_age", FunctionTransformer(compute_cumulative_mean_age)),
            ("cumulative_mean_weight", FunctionTransformer(compute_cumulative_mean_weight))
        ]
    ).set_output(transform="pandas")

    return feature_union.fit_transform(X=df).astype(float)

def transform(df: pd.DataFrame) -> pd.DataFrame:
    return compute_features(df)

if __name__ == "__main__":
    np.random.seed(42)
    df = pd.DataFrame({
        'id': [1, 2, 3, 1, 4, 5, 6, 6, 7, 8],
        'age': np.random.randint(18, 70, size=10),
        'poids': np.random.randint(50, 100, size=10)
    })

    print(transform(df))
```

### Expected Results

```pytb
Traceback (most recent call last):
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\tmp.py", line 73, in <module>
    print(transform(df=df))
          ^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\tmp.py", line 55, in transform
    return compute_features(
           ^^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\tmp.py", line 45, in compute_features
    .fit_transform(
     ^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\sklearn\utils\_set_output.py", line 332, in wrapped
    return _wrap_data_with_container(method, data_to_wrap, X, self)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\sklearn\utils\_set_output.py", line 307, in _wrap_data_with_container
    return adapter.create_container(
           ^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\sklearn\utils\_set_output.py", line 135, in create_container
    X_output = _create_pandas_dataframe_from_non_pandas_container(
               ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\sklearn\utils\fixes.py", line 428, in _create_pandas_dataframe_from_non_pandas_container
    return pd.DataFrame(X, index=index, copy=copy)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\pandas\core\frame.py", line 722, in __init__
    mgr = ndarray_to_mgr(
          ^^^^^^^^^^^^^^^
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\pandas\core\internals\construction.py", line 349, in ndarray_to_mgr
    _check_values_indices_shape_match(values, index, columns)
  File "C:\Users\XXX\PycharmProjects\fraude_detection_pec_audio\.venv\Lib\site-packages\pandas\core\internals\construction.py", line 420, in _check_values_indices_shape_match
    raise ValueError(f"Shape of passed values is {passed}, indices imply {implied}")
ValueError: Shape of passed values is (20, 1), indices imply (10, 1)
```

### Actual Results

```pytb
    raise ValueError(f"Shape of passed values is {passed}, indices imply {implied}")
ValueError: Shape of passed values is (20, 1), indices imply (10, 1)
```

### Versions

```shell
sklearn: 1.6.0
numpy: 1.26.4
pandas: 1.5.3
```

COMMENT:
Actually, here is the real bug in my opinion: if you remove the `.set_output("pandas")` from the above snippet, the code works without failing or raising warnings but outputs meaningless results:

```python
import pandas as pd
from sklearn.preprocessing import FunctionTransformer
from sklearn.pipeline import FeatureUnion


data = pd.DataFrame(dict(a=range(3), b=range(3)))
FeatureUnion(
    [
        ("a", FunctionTransformer(lambda df: df["a"])),
        ("b", FunctionTransformer(lambda df: df["b"])),
    ]
).fit_transform(data)
```
```
array([0, 1, 2, 0, 1, 2])
```

Instead, `FeatureUnion` should raise an explicit error message to make it explicit that some transformers output 1d data-structures instead of the expected 2d.

Labels: Bug, good first issue