Observed in #14330: the IterativeImputer doesn't converge, as a matter of fact, the convergence criterion doesn't seem to go down with iterations.
To me that indicates that either there's an issue with the implementation, an issue with the metric, or that our stopping criterion is not suitable.

Were there examples on which it converged? It would be nice to plot the convergence but we don't allow callbacks like that. But just printing it on https://github.com/scikit-learn/scikit-learn/blob/master/examples/impute/plot_iterative_imputer_variants_comparison.py shows that it doesn't go down.