[python-package] fix mypy errors in Dataset construction #7388

Job	Run time
r-package (ubuntu-latest, gcc, R 3.6, cmake)	12m 47s
r-package (ubuntu-latest, gcc, R 4.3, cmake)	21m 33s
r-package (ubuntu-latest, clang, R 3.6, cmake)	16m 17s
r-package (ubuntu-latest, clang, R 4.3, cmake)	13m 36s
r-package (debian, R-devel, clang)	15m 16s
r-package (macOS-latest, gcc, R 4.3, cmake)	13m 32s
r-sanitizers (ubuntu-latest, R-devel, gcc ASAN/UBSAN)	19m 23s
r-package (macOS-latest, clang, R 4.3, cmake)	20m 1s
r-sanitizers (ubuntu-latest, R-devel, clang ASAN/UBSAN)	32m 3s
r-package (windows-latest, MINGW, R 3.6, cmake)	13m 4s
r-package (windows-latest, MINGW, R 4.2, cmake)	15m 32s
r-package (windows-2019, MSVC, R 3.6, cmake)	12m 58s
r-package (windows-2022, MSVC, R 4.2, cmake)	17m 4s
r-package (windows-latest, MINGW, R 3.6, cran)	22m 40s
r-package (windows-latest, MINGW, R 4.2, cran)	26m 14s
r-package (ubuntu-latest, gcc, R 4.3, cran)	19m 40s
r-package (macOS-latest, clang, R 4.3, cran)	27m 41s
r-rchk (ubuntu-latest, gcc, R 4.3, cran)	14m 2s
all-r-package-jobs-successful	4s
	5h 33m 27s

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