[python-package] migrate test_sklearn.py to pytest (#3844)
[python-package] migrate test_sklearn.py to pytest (#3844)

* TST Migrates test_sklearn.py to pytest

* STY Fixes linting

* FIX Adds reason

* ENH Address comments
microsoft/LightGBM,henry0312/LightGBM,microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM