Fix label name warning

[hmstepanek]

Overview

Previously a warning would show if the user didn't set the label names. This warning should only show if the user does set them and they don't match in length.

[github-actions]

🦙 MegaLinter status: ✅ SUCCESS

Descriptor	Linter	Files	Fixed	Errors	Elapsed time
✅ PYTHON	bandit	1		0	4.89s
✅ PYTHON	black	1	0	0	0.58s
✅ PYTHON	flake8	1		0	0.36s
✅ PYTHON	isort	1	0	0	0.19s
✅ PYTHON	pylint	1		0	2.88s

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[codecov-commenter]

Codecov Report

❗ No coverage uploaded for pull request base (develop-scikitlearn@127ad0c). Click here to learn what that means.
The diff coverage is n/a.

@@                  Coverage Diff                   @@
##             develop-scikitlearn     #915   +/-   ##
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  Coverage                       ?   81.81%           
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  Files                          ?      187           
  Lines                          ?    19280           
  Branches                       ?     3310           
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  Hits                           ?    15773           
  Misses                         ?     2593           
  Partials                       ?      914           

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