[R-package] Fix R memory leaks (fixes #4282, fixes #3462) (#4597)

* fix R memory leaks

* attempt at solving linter complaints

* fix compilation on windows

* move R_API_BEGIN to correct place

* make sure exception objects reach out of scope

* better way to solve rchk complaints

* remove goto statement

R-package/tests/testthat/test_basic.R

@@ -1779,7 +1779,6 @@ test_that("lgb.train() fit on linearly-relatead data improves when using linear
 
 
 test_that("lgb.train() w/ linear learner fails already-constructed dataset with linear=false", {
-  testthat::skip("Skipping this test because it causes issues for valgrind")
   set.seed(708L)
   params <- list(
     objective = "regression"

R-package/tests/testthat/test_lgb.Booster.R

@@ -693,7 +693,6 @@ test_that("Saving a model with different feature importance types works", {
 })
 
 test_that("Saving a model with unknown importance type fails", {
-    testthat::skip("Skipping this test because it causes issues for valgrind")
     set.seed(708L)
     data(agaricus.train, package = "lightgbm")
     train <- agaricus.train

include/LightGBM/utils/log.h

@@ -18,8 +18,8 @@
 #ifdef LGB_R_BUILD
 #define R_NO_REMAP
 #define R_USE_C99_IN_CXX
-#include <R_ext/Error.h>
 #include <R_ext/Print.h>
+extern "C" void R_FlushConsole(void);
 #endif
 
 namespace LightGBM {
@@ -124,7 +124,8 @@ class Log {
     fprintf(stderr, "[LightGBM] [Fatal] %s\n", str_buf);
     fflush(stderr);
 #else
-    Rf_error("[LightGBM] [Fatal] %s\n", str_buf);
+    REprintf("[LightGBM] [Fatal] %s\n", str_buf);
+    R_FlushConsole();
 #endif
     throw std::runtime_error(std::string(str_buf));
   }
@@ -154,6 +155,7 @@ class Log {
       Rprintf("[LightGBM] [%s] ", level_str);
       Rvprintf(format, val);
       Rprintf("\n");
+      R_FlushConsole();
 #endif
     }
   }