[ci] Temporary pin dask version at CI (#4770)

* pin Dask version at CI

* Update .vsts-ci.yml

* Update .vsts-ci.yml

* workaround for Python 3.6

* Update test.sh

.ci/test.sh

@@ -114,7 +114,14 @@ if [[ $TASK == "swig" ]]; then
     exit 0
 fi
 
-conda install -q -y -n $CONDA_ENV cloudpickle dask distributed joblib matplotlib numpy pandas psutil pytest scikit-learn scipy
+# temporary fix for https://github.com/microsoft/LightGBM/issues/4769
+if [[ $PYTHON_VERSION == "3.6" ]]; then
+    DASK_DEPENDENCIES="dask distributed"
+else
+    DASK_DEPENDENCIES="dask=2021.9.1 distributed=2021.9.1"
+fi
+
+conda install -q -y -n $CONDA_ENV cloudpickle ${DASK_DEPENDENCIES} joblib matplotlib numpy pandas psutil pytest scikit-learn scipy
 pip install graphviz  # python-graphviz from Anaconda is not allowed to be installed with Python 3.9
 
 if [[ $OS_NAME == "macos" ]] && [[ $COMPILER == "clang" ]]; then