Add some warnings when loading dataset from binary file

[StrikerRUS]

Refer to #4701 (comment).

[jameslamb]

I'm ok with this, but in another PR I think it would be useful to change all warnings in this file to use the language "Parameter 'some_param'..." instead of "Config 'some_param'...".

The word "config" refers to how configuration is passed around internally in LightGBM's C++ code, but in documentation (https://lightgbm.readthedocs.io/en/latest/Parameters.html) and in the R and Python APIs, this is referred to as "parameters" or "params". If I wasn't familiar with LightGBM's internals and was just a user of the Python package, for example, I would be confused by what "Config header" means. I would think "what config? and what is in its header?".

[hzy46]

I agree with @jameslamb 's opinion about the wording. Parameter sounds better than Config.

[github-actions]

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