Inspired by a mail on the mailing list, I think we should make it more explicit in the model persistence section http://scikit-learn.org/dev/modules/model_persistence.html#model-persistence that models from older or newer versions might load but give different results and that this is entirely at your own risk.

As a discussion point: Should we add stuff to __setstate__ and __getstate__ that records the version of scikit-learn, and warns if a different version is used?
That seems reasonably easy but could be quite helpful for debugging.