Add AgglomerativeClustering to common checks

[betatim]

This addsAgglomerativeClustering to the list of estimators that get tested with the common tests

[betatim]

Of course it is not this easy.

The first test that fails is related to pickling. But in my experience the "bug" is often in a test before the one that fails. The annoying thing is that this doesn't happen locally, which makes it harder to bisect the tests to find the offender.

FAILED test_sklearn_compatibility.py::test_sklearn_compatible_estimator[AgglomerativeClustering()-check_estimators_pickle] - MemoryError: std::bad_alloc: CUDA error (failed to allocate 368 bytes) at: /opt/conda/envs/test/include/rmm/mr/device/cuda_memory_resource.hpp

[csadorf]

Is this ready for review?