[R-package] [ci] Add tests on R 4.0 compatibility

[jameslamb]

Currently, the R package is only tested against 3.6.x in continuous integration. This is controlled by variables R_MAC_VERSION, R_LINUX_VERSIONS, and (soon, as of #2936 ) R_WINDOW_VERSION in CI config files:

• .vsts-ci.yml (Azure DevOps)
• .travis.yml (Travis CI)
• .appveyor.yml (AppVeyor)

To close this issue, add tests to those builds that use R 4.0. We will have to decide whether the extra testing time is worth it and ALL tests should be duplicated (e.g. one R4.0.x build for every current R 3.6.x build) or whether we should for now just have one R 4.0 build as a smoke test.

For now, do not change the container used in our Azure DevOps builds (https://github.com/guolinke/lightgbm-ci-docker).

[jameslamb]

Putting this in #2302 along with other feature requests. Anyone is welcome to contribute this! Leave a comment here if you would like to contribute it and maintainers will re-open the issue.

[jameslamb]

Opening this because I now have a PR for it, #3065

[github-actions]

This issue 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.