[R-package] Rewrite R demos, replace with vignettes

[Laurae2]

The R package should have all the demos remade, short, concise, and focusing on specific topics, instead of currently being confusing to end-users who are trying to pick up the library (see some the recent issues, especially the multiclass ones).

I'll rewrite most of them later in the next months.

[StrikerRUS]

Closed in favor of being in #2302. We decided to keep all feature requests in one place.

Welcome to contribute this feature! Please re-open this issue (or post a comment if you are not a topic starter) if you are actively working on implementing this feature.

[jameslamb]

I want to add (for whoever comes back to this issue), that we should consider factoring ggplot2 out of the demos when they are re-written. Right now the demos are the only reason ggplot2 is still a Suggests dependency of the R package (see #2543 for more info) and I don't think it's giving us a lot of added benefit beyond what can be done in the base plotting options available in R.

[jameslamb]

I think that when we come to this, we should change from the current demo/ set up to vignettes in R markdown. That will provide a better experience for people reading the documentation from the docs site because we can mix rich text (in markdown) with the code. Right now the demos are all code and comments, which you can only find if you know how to use the demo() function in the terminal.

[jameslamb]

I just updated the title of this issue per this comment: #1944 (comment)