[python-package] fix mypy errors about callbacks (#5450)

* [python-package] fix mypy errors about callbacks

* revert unnecessary import

python-package/lightgbm/engine.py

@@ -685,14 +685,14 @@ def cv(
 
     # setup callbacks
     if callbacks is None:
-        callbacks = set()
+        callbacks_set = set()
     else:
         for i, cb in enumerate(callbacks):
             cb.__dict__.setdefault('order', i - len(callbacks))
-        callbacks = set(callbacks)
+        callbacks_set = set(callbacks)
 
     if "early_stopping_round" in params:
-        callbacks.add(
+        callbacks_set.add(
             callback.early_stopping(
                 stopping_rounds=params["early_stopping_round"],
                 first_metric_only=first_metric_only,
@@ -704,10 +704,10 @@ def cv(
             )
         )
 
-    callbacks_before_iter = {cb for cb in callbacks if getattr(cb, 'before_iteration', False)}
-    callbacks_after_iter = callbacks - callbacks_before_iter
-    callbacks_before_iter = sorted(callbacks_before_iter, key=attrgetter('order'))
-    callbacks_after_iter = sorted(callbacks_after_iter, key=attrgetter('order'))
+    callbacks_before_iter_set = {cb for cb in callbacks_set if getattr(cb, 'before_iteration', False)}
+    callbacks_after_iter_set = callbacks_set - callbacks_before_iter_set
+    callbacks_before_iter = sorted(callbacks_before_iter_set, key=attrgetter('order'))
+    callbacks_after_iter = sorted(callbacks_after_iter_set, key=attrgetter('order'))
 
     for i in range(num_boost_round):
         for cb in callbacks_before_iter: