keras.utils.to_categorical produces a one-hot encoded class vector, i.e. the multilabel-indicator mentioned in the error message. StratifiedKFold is not designed to work with such input; from the split method docs:
split(X, y, groups=None)[…]
y : array-like, shape (n_samples,)
The target variable for supervised learning problems. Stratification is done based on the y labels.
i.e. your y must be a 1-D array of your class labels.
Essentially, what you have to do is simply to invert the order of the operations: split first (using your intial y_train), and convert to_categorical afterwards.