[ci] [dask] test lightgbm.dask on macOS

[jameslamb]

Contributes to #3782

Enables the Dask tests on macOS, based on this comment form @neNasko1 : #6569 (comment)

[jameslamb]

All of this LGBM_SKIP_DASK_TESTS machinery could be removed if #6843 is merged before this.

If this PR is merged first, then I'll remove that stuff in #6843

[jameslamb]

This is now working! I think it's ready for review.

[StrikerRUS]

Wow, great PR, thanks!
Very nice to see Dask working on macOS! 🎉

[StrikerRUS]

Just one question: why don't we test the latest Dask among the latest libraries?
https://github.com/microsoft/LightGBM/blob/master/.ci/test-python-latest.sh

[StrikerRUS]

Also, maybe it's better to use feature label for this PR to help users discover info about Dask support on macOS? I bet very few people read Maintenance section of Release Notes 😄

[jameslamb]

Sure, we can switch this to feature. I was thinking maintenance because it is just adding testing (it was technically possible to use lightgbm.dask on macOS before), but I can understand how feature because this PR means this is now more fully "supported".

[jameslamb]

Just one question: why don't we test the latest Dask among the latest libraries? https://github.com/microsoft/LightGBM/blob/master/.ci/test-python-latest.sh

I think I did not add it there when setting that up because there weren't nightly versions published of dask / distributed ... so lots of other CI jobs already were capturing testing LightGBM against the latest releases of dask / distributed.

I'd support trying something like this in those jobs if you'd like to try it:

python -m pip install 'git+https://github.com/dask/dask.git@main'

Although some things to note:

• that shouldn't be done until we can run lightgbm's tests against latest dask again ([ci] [python-package] [dask] dask tests failing: unexpected tuple return value somewhere #6739)
• I'm not sure what the current state of source control management is for dask, distributed, and dask-expr, given that they were moving repos (ref: Merge dask and distributed repos? dask/community#402)

[jameslamb]

oops sorry, I meant feature not featurevrequest, thank you for fixing that @StrikerRUS

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