[python-package] Some mypy fixes (#3916)

* Some mypy fixes

* address James' comments

* Re-introduce pass in empty classes

* Update compat.py

Remove extra lines

python-package/lightgbm/callback.py

@@ -26,7 +26,7 @@ class EarlyStopException(Exception):
 
 # Callback environment used by callbacks
 CallbackEnv = collections.namedtuple(
-    "LightGBMCallbackEnv",
+    "CallbackEnv",
     ["model",
      "params",
      "iteration",

python-package/lightgbm/compat.py

@@ -11,12 +11,12 @@ try:
 except ImportError:
     PANDAS_INSTALLED = False
 
-    class pd_Series:
+    class pd_Series:  # type: ignore
         """Dummy class for pandas.Series."""
 
         pass
 
-    class pd_DataFrame:
+    class pd_DataFrame:  # type: ignore
         """Dummy class for pandas.DataFrame."""
 
         pass
@@ -49,7 +49,7 @@ try:
 except ImportError:
     DATATABLE_INSTALLED = False
 
-    class dt_DataTable:
+    class dt_DataTable:  # type: ignore
         """Dummy class for datatable.DataTable."""
 
         pass
@@ -123,17 +123,17 @@ except ImportError:
     default_client = None
     wait = None
 
-    class dask_Array:
+    class dask_Array:  # type: ignore
         """Dummy class for dask.array.Array."""
 
         pass
 
-    class dask_DataFrame:
+    class dask_DataFrame:  # type: ignore
         """Dummy class for dask.dataframe.DataFrame."""
 
         pass
 
-    class dask_Series:
+    class dask_Series:  # type: ignore
         """Dummy class for dask.dataframe.Series."""
 
         pass