[R-package] [ci] update to R 4.0.2 for Windows CI jobs (fixes #3191)

[jameslamb]

This PR attempts to fix #3191 , and issue that is blocking other PRs. I'm not sure why, but updating to R 4.0.2 and changing the output redirection strategy from builds seems to be enough to fix the issues documented there.

The R 4.0.2 release notes are here, if you're curious: https://cran.r-project.org/doc/manuals/r-devel/NEWS.html

I tried this on my fork, and got 3 successful builds of R 4.0 + MSVC and 3 successful builds of R 4.0 + MINGW: https://github.com/jameslamb/LightGBM/pull/32/checks?check_run_id=813328837

[StrikerRUS]

I'm happy because CI is happy :-)

Thanks a lot for the quick fix!

[StrikerRUS]

Oh, wait, does it mean that we lose all not success logs that are written not to stdout?

[jameslamb]

We already lost any of them by the changes from #3168 , I think. This step will still break if something is broken, but to get better logs we'd have to re-run with this set to Rscript build_r.R instead of using Run-R-Code-Redirect-Stderr.

I know that's bad, but the main thing is that we know the build will fail if a chance breaks the R package. I hope that PowerShell/PowerShell#12823 will get resolved and GitHub Actions will be updated soon, then maybe we can remove the workaround to suppress stderr

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.