As reported in scikit-learn/enhancement_proposals#90 (comment) in the SLEP, the current name, with_fit_callbacks, is too specific since we'll likely want to reuse this decorator for other methods when we extend the callback API.

So let's directly go with a generic with_callbacks.
Since, as a decorator, it receives the decorated method as first arg, it will be easy to use it for methods other than fit in the future, specializing the behavior for the different methods if needed.

(note that the callback_management_context context manager used inside the decorator is currently dedicated to fit, but that's fine because this one is private, so we'll be able to modify it later as needed without touching the public api)

ping @ogrisel @FrancoisPgm @StefanieSenger @lesteve