[R-package] fix R CMD check NOTE about leftover files

[jameslamb]

This fixes the following NOTE from R CMD check on Windows:

checking for non-standard things in the check directory ... NOTE
Found the following files/directories:
'data.bin' 'lgb-Dataset.data' 'lgb-model.rds' 'lgb-model.txt'
'lgb.Dataset.data' 'model.rds' 'model.txt'

It fixes this by only using tempfile() files everywhere that examples and tests write to the file system.

It also cleans up the logs in Windows R jobs. As of #3168 , I used {processx} to run some commands and redirect stderr, to avoid transient failures.

That produces hard-to-read logs like this:

This PR resolves that by assigning the result of processx::run() and setting echo = TRUE in those calls too stream out the logs.

[jameslamb]

it looks like this did eliminate the NOTE! https://github.com/microsoft/LightGBM/pull/3181/checks?check_run_id=797820357

[StrikerRUS]

Great! Thank you!

[github-actions]

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