[python-package] Renaming feature_name and categorical_feature attributes and setters

[Eyal8]

I would like to suggest changing the attribute feature_name and categorical_feature to feature_names and categorical_features respectively, as they both represent lists, and their current naming is misleading.

Example of where to change:

LightGBM/python-package/lightgbm/engine.py

Lines 51 to 52 in fcf76bc

	feature_name: _LGBM_FeatureNameConfiguration = 'auto',
	categorical_feature: _LGBM_CategoricalFeatureConfiguration = 'auto',

However, the use of these attributes is apparent in many additional places.
In addition I would suggest renaming their corresponding setter methods set_feature_name and set_categorical_feature in all the places, e.g.:

LightGBM/python-package/lightgbm/basic.py

Line 2638 in fcf76bc

def set_feature_name(self, feature_name: _LGBM_FeatureNameConfiguration) -> "Dataset":

LightGBM/python-package/lightgbm/basic.py

Line 2543 in fcf76bc

def set_categorical_feature(

[jameslamb]

Thanks for your interest in LightGBM.

I'm -1 on this suggestion. I agree that set_categorical_features() (plural) and similar would be clearer, but at this point the use of the singular form (categorical_feature, feature_name) is a significant part of the project's public API. I don't support breaking users' code in exchange for the slight improvement in clarity of the names.

I'll wait to close this for a few days to give @shiyu1994 @guolinke @jmoralez a chance to offer their opinions.

[jameslamb]

I'll wait to close this for a few days

turns out that was actually 8 months 😂

I'm going to close this. Thanks very much for taking the time to write this up @Eyal8 , we hope you'll come back to contribute again in the future.