[R] Fix potential memory leaks when creating externalptr
#9817
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ref #9810
This PR fixes a situation in which an R allocation failure when creating
externalptr
objects could lead to memory leaks by not freeing C++ allocated objects, as it triggers (on failure) a longjump which bypasses their destructors.It doesn't make the modification in function
XGDMatrixCreateFromMat_R
which is being modified in this other PR.