[dask][tests] skip Dask tests when Dask is not installed and improve imports in Dask tests #3852
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Use benefits of #3822 and import
DaskLGBM*classes from the root.Import only things that are really used.
Skip
test_dask.pywhen Dask is not installed. This is necessary to not force non-Dask contributors install all Dask stuff to run tests locally.