[ci] fix CMakeLint linelength errors

[StrikerRUS]

Contributes to #4602.

Why we can't use normal indents for long strings.

Problem with the CMake 3.0 approach is that it doesn't ignore indentation. Which means multi-line strings can't be indented with the rest of the code.
https://stackoverflow.com/questions/7637539/how-to-split-strings-across-multiple-lines-in-cmake#comment70641940_27983206

For example:

[jameslamb]

very nice, thanks! And thanks for the explanation about long strings, I definitely would have asked about that.

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.