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[python-package] respect 'verbose' setting when using custom objective function (fixes #6014) (#6428)

* [ci] speed up if-else, swig, and lint conda setup

* add 'source activate'

* python constraint

* start removing cuda v1

* comment out CI

* remove more references

* revert some unnecessaary changes

* revert a few more mistakes

* revert another change that ignored params

* sigh

* remove CUDATreeLearner

* fix tests, docs

* fix quoting in setup.py

* restore all CI

* Apply suggestions from code review
Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* Apply suggestions from code review

* completely remove cuda_exp, update docs

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Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* add binary objective for cuda_exp

* include <string> and <vector>

* exchange include ordering

* fix length of score to copy in evaluation

* fix EvalOneMetric

* fix cuda binary objective and prediction when boosting on gpu

* Add white space

* fix BoostFromScore for CUDABinaryLogloss

update log in test_register_logger

* include <algorithm>

* simplify shared memory buffer

* fix cuda_exp ci

* fix ci failures introduced by #5279

* cleanup cuda.yml

* fix test.sh

* clean up test.sh

* clean up test.sh

* skip lines by cuda_exp in test_register_logger

* Update tests/python_package_test/test_utilities.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* ignore training set on early stopping callback

* fixes

* lint

* Apply suggestions from code review
Co-authored-by: James Lamb <jaylamb20@gmail.com>

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

* [python] allow to register any custom logger

* allow customizable logging method name; add unit test

* [python] allow to register any custom logger

* allow customizable logging method name; add unit test

* update tests

* fix lint error

* remove unused method

* fix docstring style
Co-authored-by: gongxudong <gongxudong@kuaishou.com>

* clarify no-meaningful-features warning in Dataset construction (fixes #5081)

* update tests

* Update __init__.py

* Update Python-API.rst

* Update engine.py

* Update test_utilities.py

* Update sklearn.py

* Update callback.py

* Update callback.py

* Update callback.py

* deprecate advanced args of `train()` and `cv()`

* update Dask test

* improve deducing

* address review comments

* Update test_utilities.py

* Update cuda.yml

* Update test_utilities.py

* Update cuda_tree_learner.cpp

* Update cuda.yml

* centralize Python-package logging in one place

* continue

* fix test name

* removed unused import

* enhance test

* fix lint

* hotfix test

* workaround for GPU test

* remove custom logger from Dask-package

* replace one log func with flags by multiple funcs