[BUG] Fix SklearnTransform to pass inference tests

[Mr-Geekman]

🐛 Bug Report

According to #1094, SklearnTransform in per-segment mode has problems with working on subset of segments and given uncomprehensive error if new segments are met.

Expected behavior

• SklearnTransform in per-segment mode works fine on subset of segments.
• SklearnTransform in per-segment gives understandable error message if new segments are met.

To make this we should fix per-segment mode for SklearnTransform. For example, we can fill unpresent segments with some empty value (may be NaN).

How To Reproduce

Run #1094.

Environment

No response

Additional context

No response

Checklist

• Bug appears at the latest library version

[Mr-Geekman]

Closed by #1107.