`ARDRegressor` variance prediction fails on `X: pd.DataFrame`

### Describe the bug

`ARDRegressor.predict` fails if `return_std=True` and `X` is `pd.DataFrame`.

The failure occurs at the line `X = X[:, self.lambda_ < self.threshold_lambda]`.

The problem occurred while writing an adapter in `skpro` and testing API contracts, see here: https://github.com/sktime/skpro/pull/192
It seems surprising that the combination of `return_std` and `pd.DataFrame` input is not strictly tested in `sklearn`?

### Steps/Code to Reproduce

```python
from sklearn.linear_model import ARDRegression
from sklearn.datasets import load_diabetes

X, y = load_diabetes(return_X_y=True, as_frame=True)
reg = ARDRegression()

reg.fit(X, y)
reg.predict(X, return_std=True)
```


### Expected Results

`predict` does not fail and produces interface conformant predictions (a duple)

### Actual Results

```
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\base.py:3802](https://file+.vscode-resource.vscode-cdn.net/c%3A/Workspace/skpro/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3802), in Index.get_loc(self, key)
   [3801](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3800) try:
-> [3802](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3801)     return self._engine.get_loc(casted_key)
   [3803](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3802) except KeyError as err:

File index.pyx:153, in pandas._libs.index.IndexEngine.get_loc()

File index.pyx:159, in pandas._libs.index.IndexEngine.get_loc()

TypeError: '(slice(None, None, None), array([ True,  True,  True,  True,  True,  True,  True,  True,  True,
        True]))' is an invalid key

During handling of the above exception, another exception occurred:

InvalidIndexError                         Traceback (most recent call last)
Cell In[2], line 8
      5 reg = ARDRegression()
      7 reg.fit(X, y)
----> 8 reg.predict(X, return_std=True)

File [c:\ProgramData\anaconda3\envs\skpro-skbase-311\Lib\site-packages\sklearn\linear_model\_bayes.py:845](file:///C:/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py:845), in ARDRegression.predict(self, X, return_std)
    [843](file:///c%3A/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py?line=842)     return y_mean
    [844](file:///c%3A/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py?line=843) else:
--> [845](file:///c%3A/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py?line=844)     X = X[:, self.lambda_ < self.threshold_lambda]
    [846](file:///c%3A/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py?line=845)     sigmas_squared_data = (np.dot(X, self.sigma_) * X).sum(axis=1)
    [847](file:///c%3A/ProgramData/anaconda3/envs/skpro-skbase-311/Lib/site-packages/sklearn/linear_model/_bayes.py?line=846)     y_std = np.sqrt(sigmas_squared_data + (1.0 / self.alpha_))

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\frame.py:4090](https://file+.vscode-resource.vscode-cdn.net/c%3A/Workspace/skpro/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:4090), in DataFrame.__getitem__(self, key)
   [4088](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py?line=4087) if self.columns.nlevels > 1:
   [4089](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py?line=4088)     return self._getitem_multilevel(key)
-> [4090](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py?line=4089) indexer = self.columns.get_loc(key)
   [4091](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py?line=4090) if is_integer(indexer):
   [4092](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py?line=4091)     indexer = [indexer]

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\base.py:3814](https://file+.vscode-resource.vscode-cdn.net/c%3A/Workspace/skpro/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3814), in Index.get_loc(self, key)
   [3809](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3808)     raise KeyError(key) from err
   [3810](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3809) except TypeError:
   [3811](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3810)     # If we have a listlike key, _check_indexing_error will raise
   [3812](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3811)     #  InvalidIndexError. Otherwise we fall through and re-raise
   [3813](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3812)     #  the TypeError.
-> [3814](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3813)     self._check_indexing_error(key)
   [3815](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=3814)     raise

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\base.py:6058](https://file+.vscode-resource.vscode-cdn.net/c%3A/Workspace/skpro/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:6058), in Index._check_indexing_error(self, key)
   [6054](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=6053) def _check_indexing_error(self, key):
   [6055](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=6054)     if not is_scalar(key):
   [6056](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=6055)         # if key is not a scalar, directly raise an error (the code below
   [6057](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=6056)         # would convert to numpy arrays and raise later any way) - GH29926
-> [6058](file:///c%3A/Users/Franz%20Kiraly/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py?line=6057)         raise InvalidIndexError(key)

InvalidIndexError: (slice(None, None, None), array([ True,  True,  True,  True,  True,  True,  True,  True,  True,
        True]))
```

### Versions

```shell
System:
    python: 3.11.5 | packaged by Anaconda, Inc. | (main, Sep 11 2023, 13:26:23) [MSC v.1916 64 bit (AMD64)]
executable: c:\ProgramData\anaconda3\envs\skpro-skbase-311\python.exe
   machine: Windows-10-10.0.22621-SP0

Python dependencies:
      sklearn: 1.3.2
          pip: 23.3
   setuptools: 68.0.0
        numpy: 1.26.0
        scipy: 1.11.3
       Cython: None
       pandas: 2.2.0
   matplotlib: 3.8.0
       joblib: 1.3.2
threadpoolctl: 3.2.0

Built with OpenMP: True

threadpoolctl info:
       user_api: openmp
   internal_api: openmp
    num_threads: 12
         prefix: vcomp
       filepath: C:\ProgramData\anaconda3\envs\skpro-skbase-311\Lib\site-packages\sklearn\.libs\vcomp140.dll
        version: None

       user_api: blas
   internal_api: mkl
    num_threads: 6
         prefix: mkl_rt
       filepath: C:\ProgramData\anaconda3\envs\skpro-skbase-311\Library\bin\mkl_rt.2.dll
        version: 2023.1-Product
threading_layer: intel

       user_api: blas
   internal_api: openblas
    num_threads: 12
         prefix: libopenblas
       filepath: C:\ProgramData\anaconda3\envs\skpro-skbase-311\Lib\site-packages\scipy.libs\libopenblas_v0.3.20-571-g3dec11c6-gcc_10_3_0-c2315440d6b6cef5037bad648efc8c59.dll
        version: 0.3.21.dev
threading_layer: pthreads
   architecture: Haswell

       user_api: openmp
   internal_api: openmp
    num_threads: 12
         prefix: libiomp
       filepath: C:\ProgramData\anaconda3\envs\skpro-skbase-311\Library\bin\libiomp5md.dll
        version: None
```
```

COMMENT:
@glemaitre sure

Labels: Bug