DOC add "polars" to options of transform in set_output

[yuanx749]

Reference Issues/PRs

NA

What does this implement/fix? Explain your changes.

Polars is supported in set_output, but it is not depicted in the docstring of FeatureUnion.
In this PR I add the "polars" option and also tweak the docs in other places.

Any other comments?

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[jeremiedbb]

Thanks @yuanx749

[YueCastillo]

set_output(transform='polars') returns a polars dataframe with columns turned into objects (in my case, those columns were originally of type float32).
Casting from such objects is not supported in polars (polars.exceptions.ComputeError: cannot cast 'Object' type).