Log warnings for number of bins of categorical features

[shiyu1994]

This is to fix #3735, by

1. Log warnings when number of bins of categorical features exceeds the configured maximum number of bins.
2. When checking the bin number of feature groups in GPU versions (both GPU and CUDA) for better performance (to avoid bin numbers 17 and 65), we only consider the feature groups which contain no categorical features.

[shiyu1994]

After a through thinking, I found it would be better to produce only one warning information for all categorical features which exceed the configured maximum bin number. Because it is very often that categorical features contain categories greater then max_bin. Producing one warning for each categorical feature will mess up the log output.

[jameslamb]

I support this PR! But don't think I'm qualified to review this code.

Could you update it to the latest master? And maybe one of the new maintainers for C++ code (@tongwu-msft or @hzy46) could help provide a review.

[StrikerRUS]

@guolinke Could you please help to review this PR?

[github-actions]

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