[python-package] add type hints on empty initializations

[jameslamb]

Contributes to #3867.
Contributes to #3756.

mypy currently raises the following errors.

python-package/lightgbm/basic.py:2515: error: Need type annotation for "ref_chain" (hint: "ref_chain: Set[<type>] = ...")
python-package/lightgbm/basic.py:2734: error: Need type annotation for "valid_sets" (hint: "valid_sets: List[<type>] = ...")
python-package/lightgbm/basic.py:2735: error: Need type annotation for "name_valid_sets" (hint: "name_valid_sets: List[<type>] = ...")
python-package/lightgbm/engine.py:303: error: Need type annotation for "boosters" (hint: "boosters: List[<type>] = ...")

These come from places where an empty container is initialized, then later filled with values. Like this:

LightGBM/python-package/lightgbm/engine.py

Line 303 in ef006b7

self.boosters = []

LightGBM/python-package/lightgbm/engine.py

Lines 310 to 312 in ef006b7

	def _append(self, booster: Booster) -> None:
	"""Add a booster to CVBooster."""
	self.boosters.append(booster)

This PR adds type hints to fix those errors.

Notes for Reviewers

I tested this by running mypy as documented in #3867.

mypy \
    --exclude='python-package/compile/|python-package/build' \
    --ignore-missing-imports \
    python-package/

[github-actions]

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