[R-package] Added tests on LGBM_GetLastError_R #3005
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Continuing work on #2944, trying to cover all calls from the R package to the C++ side in R unit tests. These tests cover
LGBM_GetLastError_R.Confirmed by running https://github.com/microsoft/LightGBM/blob/master/R-package/README.md#testing.
These changes increase the test coverage of the R package from 79.71% to 80.27%.