I initially thought that X_val and y_val were not in the scope of the metadata routing so I had put (X, y, X_val, y_val) in data.
But looking back at the transform_input of the pipeline (https://scikit-learn.org/dev/modules/generated/sklearn.pipeline.Pipeline.html#:~:text=transform_input,-list%20of%20str%2C%20default%3DNone) and at this https://scikit-learn.org/stable/auto_examples/release_highlights/plot_release_highlights_1_6_0.html#transforming-data-other-than-x-in-a-pipeline, we realized that X_val and y_val are (and must be) routed using metadata routing.

So as discussed in the last meeting, we thought it made more sense to come back to an explicit X, y in the signature of the callback hooks.

ping @ogrisel @FrancoisPgm @StefanieSenger @lesteve