[MRG] Max iter param in Liblinear is now softcoded

Fixes https://github.com/scikit-learn/scikit-learn/issues/3499 . The max_iter param is hardcoded to 1000.
I would rather try to find a way to return the value of the `iter` variable to the caller and issue a `ConvergenceWarning` in Python code to make it possible to catch it as usual in Python.

`git grep ConvergenceWarning` for example usage of convergence warning in sklearn.