Instead use Permutation Feature Importance Explainer (PFI).
Note 1:

Note 2: Permutation Feature Importance Explainer (PFI): Permutation Feature Importance is a technique used to explain classification and regression models. At a high level, the way it works is by randomly shuffling data one feature at a time for the entire dataset and calculating how much the performance metric of interest changes. The larger the change, the more important that feature is. PFI can explain the overall behavior of any underlying model but does not explain individual predictions.
Reference:
https://docs.microsoft.com/en-us/azure/machine-learning/how-to-machine-learning-interpretability