[python][tests] migrate test_engine.py to pytest (#3800)
[python][tests] migrate test_engine.py to pytest (#3800)

* TST Migrates tset_engine.py to pytest

* ENH Apply suggestions

* ENH Uses temp path

* ENH Fixes typos
henry0312/LightGBM,microsoft/LightGBM,henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM,microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,henry0312/LightGBM