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[R-package] allow use of `categorical_features` in Dataset when raw data does not have column names (fixes #4374) (#5184)

* check for number of columns if data is matrixx for categorical indices check

* check for error when using a greater index than the number of columns

* apply suggestion
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* revert whitespace change

* check if is filename instead of matrix
Co-authored-by: James Lamb <jaylamb20@gmail.com>