Issue with current documentation:
The compute_corr parameter in pm.LKJCholeskyCov is set to True by default, which causes the error.
Also discussed here: https://discourse.pymc.io/t/matrixnormal-example-in-documentation-throws-an-error/16171
Idea or request for content:
Setting compute_corr=False resolves the problem. Will add a PR in a while.