`IterativeImputer` `InvalidIndexError` on dev branch after setting `transform_output`

### Describe the bug

After using `sklearn.set_config(transform_output="pandas")` to set output globally, `IterativeImputer` fails with an `InvalidIndexError` error.

### Steps/Code to Reproduce

From [`IterativeImputer` examples](https://scikit-learn.org/stable/modules/generated/sklearn.impute.IterativeImputer.html)

```python
import numpy as np
from sklearn.experimental import enable_iterative_imputer
from sklearn.impute import IterativeImputer

imp_mean = IterativeImputer(random_state=0)
imp_mean.fit([[7, 2, 3], [4, np.nan, 6], [10, 5, 9]])
X = [[np.nan, 2, 3], [4, np.nan, 6], [10, np.nan, 9]]

# works
imp_mean.transform(X)

# fails with InvalidIndexError: (slice(None, None, None), array([1, 2]))
from sklearn import set_config
set_config(transform_output="pandas")
imp_mean.transform(X)

# fails
set_config(transform_output=None)
imp_mean.transform(X)

# fails
set_config(transform_output="default")
imp_mean.transform(X)

# still fails
imp_mean.transform(X).set_output(transform= None)
```

### Expected Results

no error

### Actual Results

```
In [9]: imp_mean.transform(X)
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/core/indexes/base.py:3803, in Index.get_loc(self, key, method, tolerance)
   3802 try:
-> 3803     return self._engine.get_loc(casted_key)
   3804 except KeyError as err:

File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/_libs/index.pyx:138, in pandas._libs.index.IndexEngine.get_loc()

File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/_libs/index.pyx:144, in pandas._libs.index.IndexEngine.get_loc()

TypeError: '(slice(None, None, None), array([1, 2]))' is an invalid key

During handling of the above exception, another exception occurred:

InvalidIndexError                         Traceback (most recent call last)
Cell In [9], line 1
----> 1 imp_mean.transform(X).set_output(transform= None)

File ~/scikit-learn/sklearn/utils/_set_output.py:137, in _wrap_method_output.<locals>.wrapped(self, X, *args, **kwargs)
    135 @wraps(f)
    136 def wrapped(self, X, *args, **kwargs):
--> 137     data_to_wrap = f(self, X, *args, **kwargs)
    138     if isinstance(data_to_wrap, tuple):
    139         # only wrap the first output for cross decomposition
    140         return (
    141             _wrap_data_with_container(method, data_to_wrap[0], X, self),
    142             *data_to_wrap[1:],
    143         )

File ~/scikit-learn/sklearn/impute/_iterative.py:755, in IterativeImputer.transform(self, X)
    753 start_t = time()
    754 for it, estimator_triplet in enumerate(self.imputation_sequence_):
--> 755     Xt, _ = self._impute_one_feature(
    756         Xt,
    757         mask_missing_values,
    758         estimator_triplet.feat_idx,
    759         estimator_triplet.neighbor_feat_idx,
    760         estimator=estimator_triplet.estimator,
    761         fit_mode=False,
    762     )
    763     if not (it + 1) % imputations_per_round:
    764         if self.verbose > 1:

File ~/scikit-learn/sklearn/impute/_iterative.py:360, in IterativeImputer._impute_one_feature(self, X_filled, mask_missing_values, feat_idx, neighbor_feat_idx, estimator, fit_mode)
    357     return X_filled, estimator
    359 # get posterior samples if there is at least one missing value
--> 360 X_test = _safe_indexing(X_filled[:, neighbor_feat_idx], missing_row_mask)
    361 if self.sample_posterior:
    362     mus, sigmas = estimator.predict(X_test, return_std=True)

File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/core/frame.py:3804, in DataFrame.__getitem__(self, key)
   3802 if self.columns.nlevels > 1:
   3803     return self._getitem_multilevel(key)
-> 3804 indexer = self.columns.get_loc(key)
   3805 if is_integer(indexer):
   3806     indexer = [indexer]

File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/core/indexes/base.py:3810, in Index.get_loc(self, key, method, tolerance)
   3805         raise KeyError(key) from err
   3806     except TypeError:
   3807         # If we have a listlike key, _check_indexing_error will raise
   3808         #  InvalidIndexError. Otherwise we fall through and re-raise
   3809         #  the TypeError.
-> 3810         self._check_indexing_error(key)
   3811         raise
   3813 # GH#42269

File /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/python3.10/site-packages/pandas/core/indexes/base.py:5966, in Index._check_indexing_error(self, key)
   5962 def _check_indexing_error(self, key):
   5963     if not is_scalar(key):
   5964         # if key is not a scalar, directly raise an error (the code below
   5965         # would convert to numpy arrays and raise later any way) - GH29926
-> 5966         raise InvalidIndexError(key)

InvalidIndexError: (slice(None, None, None), array([1, 2]))
```

### Versions

```shell
System:
    python: 3.10.6 | packaged by conda-forge | (main, Aug 22 2022, 20:35:26) [GCC 10.4.0]
executable: /path/to/modules/packages/conda/4.6.14/envs/myenv/bin/python3.10
   machine: Linux-3.10.0-1160.76.1.el7.x86_64-x86_64-with-glibc2.17

Python dependencies:
      sklearn: 1.2.dev0
          pip: 22.3.1
   setuptools: 65.5.1
        numpy: 1.23.4
        scipy: 1.9.3
       Cython: 0.29.32
       pandas: 1.5.1
   matplotlib: 3.6.2
       joblib: 1.2.0
threadpoolctl: 3.1.0

Built with OpenMP: True

threadpoolctl info:
       user_api: openmp
   internal_api: openmp
         prefix: libgomp
       filepath: /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/libgomp.so.1.0.0
        version: None
    num_threads: 1

       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: /path/to/modules/packages/conda/4.6.14/envs/myenv/lib/libopenblasp-r0.3.21.so
        version: 0.3.21
threading_layer: pthreads
   architecture: Zen
    num_threads: 1
```

COMMENT:
@t-silvers your way of setting the option is good. It is just that we did not internally test it well enough. Therefore, we did not catch the bug when there are nested `transformers`. We are going to fix it before the 1.2 release.

Labels: Bug, Blocker