[ci] [R-package] Fix memory leaks found by valgrind#3443
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jameslamb merged 81 commits intomasterfrom ci/r-valgrind-testOct 18, 2020
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Merge branch 'ci/r-valgrind-test' of https://github.com/microsoft/LightGBM into ci/r-valgrind-test
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