Set default n_splits=5 in scikit-learn KFold

[leouieda]

scikit-learn will change the default from 3 to 5 in an upcoming release.
Set the value to 5 now to prepare and make sure that future changes
don't affect us.

Reminders

• Run make format and make check to make sure the code follows the style guide.
• Add tests for new features or tests that would have caught the bug that you're fixing.
• Add new public functions/methods/classes to doc/api/index.rst.
• Write detailed docstrings for all functions/methods.
• If adding new functionality, add an example to the docstring, gallery, and/or tutorials.