My personal take on this, is that this is unlikely to happen in scikit-learn so I am going to close this. More than happy to hear other opinions on this!

A few reasons to explain why I think this should be closed:

• full disclosure: I have never heard of it before, but it seems like this is more specific to forecasting time-series prediction which I would say is a bit outside of the main scikit-learn core focus
• the fact that you have asked pingouin to consider adding this feature and that the response from someone that seems to know this kind of test a lot better than me is that "The DM test is also very specific in a way" seems to imply that scikit-learn is not a good place for this see Diebold-Mariano test / time series and forecasting tests raphaelvallat/pingouin#434 (comment)
• people tend to underestimate how much work is needed to add something new in scikit-learn (or similarly sized projects). In scikit-learn, there are currently 480+ issues opened with the label "New feature" and I would say most of them have a very small chance of ever being worked on, let alone being merged one day ...

I would encourage you to see if there is not a better package in the ecosystem which would make more sense to host this kind of functionality. Not sure whether that is useful for your use case but I found one project on PyPI https://pypi.org/project/dieboldmariano that maybe worth looking at. The repo you point to has some Python 2 specific code in their README which you know is generally not a great sign.