I think the issue is that because you are passing three cols on the left, sklearn is getting confused.
Alternative
But as @unutbu said, there is no difference in performance between df.apply and for so I'd just use this:
for col in ['sex','embarked','alive']:
     df[col] = pp.fit_transform(df[col])
But if you really do a one liner, here's how you do it (warning, massive overkill):
Add another layer of indentation to the fit, tranform and fit_transform methods as the formatting doesn't work (should match the indentation of the def __init__ method.
class MultiColumnLabelBinarizer:
    def __init__(self,columns = None):
        self.columns = columns # array of column names to encode`
    def fit(self,X,y=None):
        return self # not relevant here
    def transform(self,X):
        '''
        Transforms columns of X specified in self.columns using
        LabelEncoder(). If no columns specified, transforms all
        columns in X.
        '''
        output = X.copy()
        if self.columns is not None:
            for col in self.columns:
                output[col] = LabelBinarizer().fit_transform(output[col])
        else:
            for colname,col in output.iteritems():
                output[colname] = LabelBinarizer().fit_transform(col)
        return output
    def fit_transform(self,X,y=None):
        return self.fit(X,y).transform(X)
df = MultiColumnLabelBinarizer(columns = ['embarked','alive']).fit_transform(df)
Source: Label encoding across multiple columns in scikit-learn