clarify DEBUG-level log about tree depth

[jameslamb]

*TreeLearner::Train() methods have a DEBUG-level log like this:

[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 6
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 7
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 8
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 8
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 7
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 9
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 8
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 9
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 7
[LightGBM] [Debug] Trained a tree with leaves = 31 and max_depth = 9

This message is saying "ok, this tree is complete. It has n leaves and depth d". I think it's confusing to refer to the depth of that tree as max_depth, since that is also the name of a LightGBM parameter (https://lightgbm.readthedocs.io/en/latest/Parameters.html#max_depth). When I first saw logs like this, I thought "wait, why is LightGBM changing the max_depth parameter at each training iteration?".

This PR proposes changing that language to "depth" to avoid such confusion.

Linking to #4026 (comment).

[StrikerRUS]

@jameslamb Please do not merge PRs when we have a pending blocking CI PR because it often results in outdated nightly releases and may confuse users.

[jameslamb]

oh! Sorry, did not consider the implications for nightly builds.

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