[MRG] FIX: Remove lil matrix conversion

Removed a XXX from the code. (unnecessary LIL conversion)
Wait a minute. In a randomly constructed `coo_matrix`, `row` isn't sorted at all:

```python
>>> from scipy.sparse import rand
>>> X = rand(10, 11, density=.5, format="coo")
>>> X.row
array([3, 5, 6, 8, 0, 1, 3, 5, 6, 8, 9, 1, 2, 3, 4, 7, 0, 2, 4, 6, 8, 9, 6,
       7, 9, 1, 3, 5, 0, 3, 4, 5, 9, 1, 3, 6, 9, 0, 1, 2, 5, 7, 1, 3, 5, 6,
       7, 8, 9, 0, 1, 2, 4, 6, 8], dtype=int32)
```