The `save_model()` and `load_model()` method only saves the part of the model
that's common to all language interfaces and do not preserve Python-specific
attributes, such as `feature_names`. More crucially, label encoder is not
preserved either; this is needed for the scikit-learn wrapper, since you may
have string labels.
Fix: Explicitly recommend pickling as the way to save scikit-learn model
objects.
d83c818000