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[tests][dask] add scikit-learn compatibility tests (fixes #3894) (#3947)

* add test_dask.py

* Update tests/python_package_test/test_dask.py

Co-authored-by: James Lamb <jaylamb20@gmail.com>

* clients

* remove ports

* safe sklearn checks

* safe sklearn checks

* fix whitespace

* fix whitespace-try 2

* fix whitespace-try 3

* isort

* isort

* sklearn_checks_to_learn

Co-authored-by: James Lamb <jaylamb20@gmail.com>