Arises from the following snippet:
if y is not None:
X['_actual'] = y
agg_kwargs['actual'] = ('_actual', y_aggfun)
agg_kwargs['actual_lower'] = ('_actual', lambda s: s.quantile(.25, interpolation='lower'))
agg_kwargs['actual_upper'] = ('_actual', lambda s: s.quantile(.75, interpolation='higher'))
.quantile is not a valid function on categorical y