[REVIEW] Handle C++ exception thrown from FIL predict

[hcho3]

Currently, attempting to use predict_proba() with a multi-class classifier will result into a segfault, because a C++ exception is not properly handled in the Python layer.

Use except + construct in Cython to convert C++ exceptions from the predict() function of FIL into Python exceptions.

[GPUtester]

Please update the changelog in order to start CI tests.

View the gpuCI docs here.

[levsnv]

looks good! what will happen once #2894 is merged and it stops throwing the exception? Will you need to fully revert it? (does not sound like a problem per se, just wondering)

[hcho3]

@levsnv No, we just need to remove the unit test test_cpp_exception. I think we should keep except +, unless it leads to big overhead.

[hcho3]

Personally, I am paranoid about letting a C++ exception escape the language boundary, because it leads to segfault. In XGBoost, we catch every single C++ exception and convert it to Python exceptions.

[codecov-io]

Codecov Report

Merging #3061 into branch-0.17 will increase coverage by 0.01%.
The diff coverage is n/a.

@@               Coverage Diff               @@
##           branch-0.17    #3061      +/-   ##
===============================================
+ Coverage        59.22%   59.23%   +0.01%     
===============================================
  Files              142      142              
  Lines             8966     8966              
===============================================
+ Hits              5310     5311       +1     
+ Misses            3656     3655       -1     

Impacted Files	Coverage Δ
...l/_thirdparty/sklearn/preprocessing/_imputation.py	62.50% <0.00%> (+0.40%)	⬆️

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