[R] Add more {lintr} linters and run them in CI

[jameslamb]

Opening this issue from the discussion in #5778 , specifically #5778 (comment).

As of this writing there is some {lintr} code for linting the R package, but it is disabled

xgboost/R-package/tests/testthat/test_lint.R

Line 26 in 1d22a9b

# lintr::expect_lint_free(linters=my_linters) # uncomment this if you want to check code quality

.

How to close this issue

1. Enable linting in R-package/tests/testthat/test_lint.R (or propose an alternative way to run linting checks, such as https://github.com/microsoft/LightGBM/blob/4d43e96bbc10de2937aa70a5829977d46bdb1852/.ci/test.sh#L57
2. Propose additional linters to be added. The list of available linters can be found here

[hcho3]

Consolidating to #5796