Removing the deprecated categorical_feature parameter from lightgbm.train(...) function calls.

[drivanov]

Using categorical_feature parameter in lightgbm.Dataset() instead of lightgbm.train(...) eliminates the following warnings:

test/gbdt/test_gbdt.py: 60 warnings
  /usr/local/lib/python3.10/dist-packages/lightgbm/engine.py:187: LGBMDeprecationWarning: Argument 'categorical_feature' 
to train() is deprecated and will be removed in a future release. Set 'categorical_feature' when calling lightgbm.Dataset() 
instead. See https://github.com/microsoft/LightGBM/issues/6435.
    _emit_dataset_kwarg_warning("train", "categorical_feature")

[yiweny]

Thanks a lot for your contribution!