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[python-package][R-package] adapt to scikit-learn 1.6 testing changes, pin more packages in R 3.6 CI jobs #6968

[python-package][R-package] adapt to scikit-learn 1.6 testing changes, pin more packages in R 3.6 CI jobs

[python-package][R-package] adapt to scikit-learn 1.6 testing changes, pin more packages in R 3.6 CI jobs #6968