LightGBM

[tests][python][sklearn] make sklearn integration test compatible with 0.24 (#3533)

* TST make sklearn integration test compatible with 0.24

* remove useless import

* remove outdated comment

* order import

* use parametrize_with_checks

* change the reason

* skip constructible if != 0.23

* make tests behave the same across sklearn version

* linter

* address suggestions