No sklearn (no python 3.6.5 pelo menos) aparece o seguinte Warning
DeprecationWarning: This module was deprecated in version 0.18 in favor of the model_selection module into which all the refactored classes and functions are moved. Also note that the interface of the new CV iterators are different from that of this module. This module will be removed in 0.20. "This module will be removed in 0.20.", DeprecationWarning)
o modulo cross_validation vai ser descontinuado na versão 0.18 e então será removida na versão 0.20
pra resolver esse Warning somente altere o codigo de importacao para
from sklearn.model_selection import cross_val_score
os argumentos sao os mesmos. Ciao