can't set attribute error when running PCA

**Describe the issue**:
Below code returns can't set attribute error

**Minimal Complete Verifiable Example**:

```python
from dask_ml.decomposition import PCA
import dask.array as da
import numpy as np
X = np.array([[-1, -1], [-2, -1], [-3, -2], [1, 1], [2, 1], [3, 2]])
dX = da.from_array(X, chunks=X.shape)
pca = PCA(n_components=2)
pca.fit(dX)
# Put your MCVE code here
```

**Anything else we need to know?**:

**Environment**:

- Dask version: dask==2022.7.0
- Python version: Python 3.8.13
- Operating System: M1 Mac
- Install method (conda, pip, source): pip

I faced this issue when working with scikit_learn==1.1.2, It worked after i downgraded scikit_learn to scikit_learn==1.0.2