[Metrics] AUROC error on multilabel + improved testing

[SkafteNicki]

What does this PR do?

Fixes #3303
Also improves metric testing by more tests against sklearn (related to #3230 )

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[pep8speaks]

Hello @SkafteNicki! Thanks for updating this PR.

There are currently no PEP 8 issues detected in this Pull Request. Cheers! 🍻

Comment last updated at 2020-09-17 14:56:12 UTC

[codecov]

Codecov Report

Merging #3350 into master will increase coverage by 3%.
The diff coverage is 100%.

@@           Coverage Diff           @@
##           master   #3350    +/-   ##
=======================================
+ Coverage      88%     91%    +3%     
=======================================
  Files         109     109            
  Lines        8436    8313   -123     
=======================================
+ Hits         7409    7562   +153     
+ Misses       1027     751   -276     

[mergify]

This pull request is now in conflict... :(

[awaelchli]

LGTM, but be careful not to make tests too complicated.

[mergify]

This pull request is now in conflict... :(

[edenlightning]

mind looking at failing tests?

[mergify]

This pull request is now in conflict... :(