[c++] fail when forcedsplits_filename points to missing file

[shiyu1994]

Summary

• make GBDT fail fast when forcedsplits_filename is set but the file cannot be opened
• add a Python test that verifies this missing-file case raises LightGBMError

Testing

• ./lightgbm config=examples/binary_classification/train.conf data=examples/binary_classification/binary.train valid_data=examples/binary_classification/binary.test num_iterations=1 forced_splits=examples/binary_classification/does_not_exist.json
• ./lightgbm config=examples/binary_classification/train.conf data=examples/binary_classification/binary.train valid_data=examples/binary_classification/binary.test num_iterations=1 forced_splits=examples/binary_classification/forced_splits.json
• conda run -n lightgbm python -m pytest tests/python_package_test/test_engine.py -k "forced_split_feature_indices or forced_split_missing_file" -q

Fixes #6830

[jameslamb]

There is already a human-submitted PR for this issue, and it has significant discussion.

#6832

Instead of this, could you please help that move forward?

I'd also like to know... in whatever you're doing to generate these PRs, would the bot ignore issues that are already assigned? If so I think we should make a habit of assigning issues to contributors once they open PRs, to avoid PRs like this one and #7184 and #7197 being opened.