[R] Expose new S3 option check_directory_existence_before_creation

[HaochengLIU]

Describe the enhancement requested

Expose new S3 option check_directory_existence_before_creation from #41493

Component(s)

R

[HaochengLIU]

I will try to expose in it in my spare cycle after work

[HaochengLIU]

fyi @MattShrider

[thisisnic]

Issue resolved by pull request 46619
#46619