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Correctly expand penalties with categoricals and `cat_missing_method="convert"` #512

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Run time

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Job	Run time
Build source distribution	32s
Build wheels on ubuntu-20.04	4m 39s
Build wheels on macos-11	14m 53s
Build wheels on windows-2019	6m 34s
upload_testpypi	0s
upload_pypi	0s
	26m 38s