[ci] [python-package] enforce flake8 checks (fixes #5566)

[jameslamb]

Fixes #5566.

Proposes enforcing flake8 checks on all Python code maintained in this repo, for the reasons described in #5566.

This also fixes the following warnings found by flake8

./tests/python_package_test/test_engine.py:2906:9: F841 local variable 'bst' is assigned to but never used
./tests/python_package_test/test_callback.py:6:1: F401 '.utils.pickle_obj' imported but unused
./tests/python_package_test/test_callback.py:6:1: F401 '.utils.unpickle_obj' imported but unused
./tests/python_package_test/test_dask.py:1727:29: F841 local variable 'client' is assigned to but never used
./tests/python_package_test/test_dask.py:1806:29: F841 local variable 'client' is assigned to but never used
./tests/python_package_test/test_sklearn.py:447:5: F841 local variable 'gbm_clone' is assigned to but never used
./python-package/setup.py:99:5: F841 local variable 'err' is assigned to but never used
./python-package/lightgbm/compat.py:39:5: F401 'matplotlib' imported but unused
./python-package/lightgbm/compat.py:46:5: F401 'graphviz' imported but unused
./docs/conf.py:108:5: F401 'sklearn' imported but unused

Notes for Reviewers

In a followup PR, I might also propose also adding some flake8 plugins like flake8-bugbear. But didn't want to make this PR any larger.

[jameslamb]

via this warning...

./tests/python_package_test/test_sklearn.py:447:5: F841 local variable 'gbm_clone' is assigned to but never used

...flake8 caught that this test wasn't really checking the correctness of sklearn.clone() applied to an LGBMRegressor. It was basically just checking that clone() ran without error.

I chose to fix the warning by also just making the test stricter.

See https://scikit-learn.org/stable/modules/generated/sklearn.base.clone.html#sklearn.base.clone for details on what this function does.

[github-actions]

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