Invalid warning about feature names missing in KNeighborsRegressor

Describe the bug

When I call fit() then predict() on a KNeighborsRegressor, passing a DataFrame with the same column names both times, I get a warning:

[...]/python3.8/site-packages/sklearn/base.py:441: UserWarning: X does not have valid feature names, but KNeighborsRegressor was fitted with feature names
  warnings.warn(

Steps/Code to Reproduce

import numpy as np
import pandas as pd
from sklearn.neighbors import KNeighborsRegressor

df = pd.DataFrame({"A": np.random.rand(10)})
k = KNeighborsRegressor().fit(df, np.random.rand(10))
y_pred = k.predict(df)

Expected Results

No warning: I’ve provided a DataFrame with the same columns both times.

Actual Results

A warning.

Versions

System:
    python: 3.8.12 | packaged by conda-forge | (default, Oct 12 2021, 21:50:38)  [Clang 11.1.0 ]
executable: /Users/ageron/miniconda3/envs/homl3/bin/python
   machine: macOS-10.15.7-x86_64-i386-64bit

Python dependencies:
          pip: 21.3
   setuptools: 58.2.0
      sklearn: 1.0
        numpy: 1.19.5
        scipy: 1.7.1
       Cython: None
       pandas: 1.3.3
   matplotlib: 3.4.3
       joblib: 0.14.1
threadpoolctl: 3.0.0

Built with OpenMP: True

[glemaitre]

I confirm that I don’t get a warning anymore.

[glemaitre]

Please open a new issue to know the scikit-learn version used. It should be solved in 1.0.2