[ci] [python-package] fix missing import, test that lightgbm can be imported with only required dependencies (fixes #5631)

[jameslamb]

Fixes #5631.

#5271 added an import from scikit-learn but didn't add the corresponding empty import in compat.py to handle the case where scikit-learn is not installed.

As a result, I believe that using the Python package without scikit-learn has been broken for the last 4 months.

This PR proposes the following:

• fix that specific import issue
• add a check in CI to prevent issues like this in the future

[jameslamb]

I initially just pushed the CI changes, and can see that they DO catch the exact error reported in #5631 🎉

ImportError: cannot import name '_LGBMBaseCrossValidator' from 'lightgbm.compat'

And only on the regular task, as intended

• ❌ regular (macOS-latest, Python 3.8) (Azure build link)
• ❌ Linux regular (Azure build link)
• ❌ Linux_latest regular (Azure build link)
• ❌ macOS regular (Azure build link)

Now that there's evidence that that check would catch this, I'll push a fix for the specific issue.

[jmoralez]

Do you think it'd be worth (maybe in a separate PR) to run the tests as well without the required dependencies? It could help us avoid issues like #4638.

[jameslamb]

Do you think it'd be worth (maybe in a separate PR) to run the tests as well without the required dependencies?

Yeah I think that could be helpful for catching other issues like the one you linked and like #5631! Could you write up an issue describing it?

I'd also love to see us take on tests like the following:

• oldest-supported CMake + oldest-supported versions of pandas, scikit-learn, numpy, scipy
  • I should really write this up in an issue....I'll do that
• [ci] regression tests: binary Dataset format #4406
• [ci] regression tests: model files #4407

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