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[R-package] skip integer categorical feature check when building dataset subset (fixes #6412) (#6442)

* [python-package] Allow to pass early stopping min delta in params

* Fix test

* Add separate test

* Fix

* Add to cpp config

* Adjust test

* Adjust test

* Debug

* Revert

* Apply suggestions from code review

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

* support quantized training with categorical features on cpu

* remove white spaces

* add tests for quantized training with categorical features

* skip tests for cuda version

* fix cases when only 1 data block in row-wise quantized histogram construction with 8 inner bits

* remove useless capture

* fix compilation warnings

revert useless changes

* revert useless change

* separate functions in feature histogram into cpp file

* add feature_histogram.o in Makevars

[R-package] [c++] add tighter multithreading control, avoid global OpenMP side effects (fixes #4705, fixes #5102) (#6226)