FIX #2372: StratifiedKFold less impact on the original order of samples.
Fix accidental doctest breakage.
Instead of linking to NB, explain the problem inside the test itself.

I'm using a smaller number of examples from the digits dataset because
that cuts down test execution time for me from 17s to 4s, and still
yields the very similar results.
Avoid list, preallocate a numpy array for indices instead.

It appears that the sorted() call is unnecessary here.
Update comment with numbers for when we run with 800 samples.
Add entry for #2372 to whats_new.rst
More detailed entry for StratifiedKFold fix in whats_new.rst