[BUG] fix STLForecaster tag ignores-exogenous-X to be correctly s…

…et for composites (#5365)

Sets the `ignores-exogenous-X` tag of `STLForecaster` to `False` if and only if at least one of the used
forecaster has it as `False`, and `True` otherwise.

sktime/forecasting/trend/_stl_forecaster.py

@@ -180,6 +180,21 @@ def __init__(
         self.forecaster_resid = forecaster_resid
         super().__init__()
 
+        for forecaster in (
+            self.forecaster_trend,
+            self.forecaster_seasonal,
+            self.forecaster_resid,
+        ):
+            if forecaster is not None and not forecaster.get_tag(
+                "ignores-exogeneous-X"
+            ):
+                ignore_exogenous = False
+                break
+        else:  # none of the forecasters (if provided) use exogenous feature variables
+            ignore_exogenous = True  # corresponding to NaiveForecaster in missing case
+
+        self.set_tags(**{"ignores-exogeneous-X": ignore_exogenous})
+
     def _fit(self, y, X, fh):
         """Fit forecaster to training data.