sc.pp.neighbors throws KeyError: diffmap_evals due to obsm concatenation

Duplicating from https://github.com/theislab/anndata/pull/284:

@Koncopd @falexwolf

There is an issue with the obsm concatenation. When we run sc.tl.diffmap with different anndata objects, concatenate them and run sc.pp.neighbors on the concatenated new anndata, we get the following exception. The reason is that X_diffmap' is available in obsm but .uns['diffmap_evals'] is not.

---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
<timed exec> in <module>

/opt/conda/lib/python3.7/site-packages/scanpy/neighbors/__init__.py in neighbors(adata, n_neighbors, n_pcs, use_rep, knn, random_state, method, metric, metric_kwds, copy)
    104     if adata.isview:  # we shouldn't need this here...
    105         adata._init_as_actual(adata.copy())
--> 106     neighbors = Neighbors(adata)
    107     neighbors.compute_neighbors(
    108         n_neighbors=n_neighbors, knn=knn, n_pcs=n_pcs, use_rep=use_rep,

/opt/conda/lib/python3.7/site-packages/scanpy/neighbors/__init__.py in __init__(self, adata, n_dcs)
    527                 self._number_connected_components = self._connected_components[0]
    528         if 'X_diffmap' in adata.obsm_keys():
--> 529             self._eigen_values = _backwards_compat_get_full_eval(adata)
    530             self._eigen_basis = _backwards_compat_get_full_X_diffmap(adata)
    531             if n_dcs is not None:

/opt/conda/lib/python3.7/site-packages/scanpy/neighbors/__init__.py in _backwards_compat_get_full_eval(adata)
    395         return np.r_[1, adata.uns['diffmap_evals']]
    396     else:
--> 397         return adata.uns['diffmap_evals']
    398 
    399 

KeyError: 'diffmap_evals'

Doesn't it make more sense to make obsm concatenation False by default, by the way? Should concatenating obsm be the default behaviour?

The traceback points to scanpy/neighbors/init.py, especially Neighbors and _backwards_compat_get_full_eval; start there and inspect how obsm and uns are produced by concatenation after sc.tl.diffmap. Reproduce the reported case, then establish and test the intended behavior for missing diffmap_evals and the default obsm-concatenation choice; done means sc.pp.neighbors handles the concatenated data consistently.