Dear all,

I posted the full question on StackOverflow and as it contains some figures I refer you to that post. 

https://stackoverflow.com/questions/44661926/sample-weight-parameter-shape-error-in-scikit-learn-gridsearchcv/44662285#44662285

I currently  believe that this issue is a bug and I opened an issue on GitHub.

To sum up, the issue is that GridSearchCV does not handle the splitting of the sample_weight vector during cross validation.

Nota bene: cross_val_score seems to handle the splitting OK, this issue seems to occurr only in GridSearchCV.

Any comments enlightening me and showing me how wrong I am are most welcome.

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