[dask] fix teardown issues in Dask tests (fixes #3829) (#3869)
[dask] fix teardown issues in Dask tests (fixes #3829) (#3869)

* [dask] reduce teardown erros in Dask tests

* azure

* show logs

* try again

* more

* submodules

* try a bunch of sdist tests

* empty commit

* empty commit

* empty commit

* use sh-ubuntu

* 10 sdist tasks

* stuff

* empty commit

* empty commit

* empty commit

* empty commit

* try bdist

* empty commit

* empty commit

* empty commit

* empty commit

* py37

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* python 3.8

* empty commit

* empty commit

* empty commit

* empty commit

* empty commit

* cuda config

* comment out cuda again

* setting timeout

* put client close in the right place

* uncomment CI, make timeout 60
henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM