LogisticRegression cannot train from Dask DataFrame

A simple example:

```python
from dask import dataframe as dd
from dask_glm.datasets import make_classification
from dask_ml.linear_model import LogisticRegression

X, y = make_classification(n_samples=10000, n_features=2)

X = dd.from_dask_array(X, columns=["a","b"])
y = dd.from_array(y)

lr = LogisticRegression()
lr.fit(X, y)
```

Returns `KeyError: (,)`

I did not have time to try if it is also the case for other models.