dask-ml: LogisticRegression cannot train from Dask DataFrame

A simple example:

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: (<class 'dask.dataframe.core.DataFrame'>,)

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