What is the difference between sklearn's transform() and predict() methods?
Partial Least Squares Regression is a supervised learning technique that also does dimensionality reduction. The PLSRegression class needs both transform and predict interfaces to properly implement the behavior of Partial Least Squares Regression. The transform method is the interface for dimensionality reduction. The predict method is the interface for generating targets from a trained regression model.
Not all Estimators in scikit-learn do both feature manipulation and prediction (typically target), thus not all classes are going to have both transform and predict interfaces.