BUG: Fix compatibility with the newest lightgbm

[yifeis7]

What do these changes do?

Fix compatibility with the newest lightgbm

Related issue number

Fixes #xxxx

Check code requirements

• [x] tests added / passed (if needed)
• [ ] Ensure all linting tests pass

[codecov[bot]]

Codecov Report

Merging #601 (b3745e2) into main (33f99bb) will decrease coverage by 0.01%. The diff coverage is 100.00%.

@@            Coverage Diff             @@
##             main     #601      +/-   ##
==========================================
- Coverage   93.60%   93.59%   -0.01%     
==========================================
  Files        1010     1010              
  Lines       78586    78582       -4     
  Branches    16332    16330       -2     
==========================================
- Hits        73558    73547      -11     
+ Misses       3375     3374       -1     
- Partials     1653     1661       +8     

Flag	Coverage Δ
unittests	93.48% <100.00%> (-0.01%)	:arrow_down:

Flags with carried forward coverage won't be shown. Click here to find out more.

Impacted Files	Coverage Δ
...hon/xorbits/_mars/learn/contrib/lightgbm/_train.py	92.65% <100.00%> (-0.12%)	:arrow_down:

... and 7 files with indirect coverage changes