A simple example:
from dask import dataframe as dd
from dask_glm.datasets import make_classification
from dask_ml.linear_model import LogisticRegression
X, y = make_classification(n_samples=10000, n_features=2)
X = dd.from_dask_array(X, columns=["a","b"])
y = dd.from_array(y)
lr = LogisticRegression()
lr.fit(X, y)
Returns KeyError: (<class 'dask.dataframe.core.DataFrame'>,)
I did not have time to try if it is also the case for other models.