[python-package] Fix mypy checks in `compat.py` (#6898)

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

python-package/lightgbm/compat.py

@@ -36,16 +36,16 @@ try:
         # validate_data() was added in scikit-learn 1.6, this function roughly imitates it for older versions.
         # It can be removed when lightgbm's minimum scikit-learn version is at least 1.6.
         def validate_data(
-            _estimator,
-            X,
-            y="no_validation",
+            _estimator: Any,
+            X: Any,
+            y: Any = "no_validation",
             accept_sparse: bool = True,
             # 'force_all_finite' was renamed to 'ensure_all_finite' in scikit-learn 1.6
             ensure_all_finite: bool = False,
             ensure_min_samples: int = 1,
             # trap other keyword arguments that only work on scikit-learn >=1.6, like 'reset'
-            **ignored_kwargs,
-        ):
+            **ignored_kwargs: Any,
+        ) -> Any:
             # it's safe to import _num_features unconditionally because:
             #
             #  * it was first added in scikit-learn 0.24.2