WIP: [ci] include lightgbm's dependencies in linting job

[jameslamb]

Contributes to #3756
Contributes to #3867.

The lint CI job runs mypy, a static type-checker for Python.

The code in python-package/compat.py handles optional imports by creating placeholder empty classes and functions. For example, like this:

LightGBM/python-package/lightgbm/compat.py

Line 25 in 39ed8ea

class pd_DataFrame: # type: ignore

Since many of lightgbm's dependencies (like pandas and matplotlib) are not currently installed during the lint CI job, it's those placeholder definitions that mypy checks. And the presence of # type: ignore comments on many of them short-circuits the type-checking process.

As a result, the lint job is currently not able to detect issues like "pandas Series do not have attribute .xyz".

This PR proposes installing all of those dependencies in the lint CI job, to improve the ability of CI to catch such incompatibilities (at least with the latest version of all installed dependencies).

[jameslamb]

This proved to be more difficult than I thought it would be. I'm going to close this to focus on other things. Sorry for the noise.

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.