Describe the issue linked to the documentation

The following example:
https://scikit-learn.org/stable/auto_examples/model_selection/plot_roc.html
does not use sklearn.metrics.plot_roc_curve or any of the related plotting tools.

Suggest a potential alternative/fix

We should either:

• Reference the corresponding functionality on this example
• [preferably]use this functionality on this example, which might require improving it, if writing the corresponding example is clunky with our plotting utilities.