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Correctly expand penalties with categoricals and `cat_missing_method="convert"` #513

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Run time

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Job	Run time
Build source distribution	38s
Build wheels on ubuntu-20.04	4m 47s
Build wheels on macos-11	15m 28s
Build wheels on windows-2019	6m 57s
upload_testpypi	0s
upload_pypi	0s
	27m 50s