[R-package] Cannot pass named categorical features to lightgbm()

[david-cortes]

Calling lightgbm() will always end up throwing an error if I pass a matrix with named columns and pass column names for categorical_feature:

library(lightgbm)
data(mtcars)
y <- mtcars$mpg
x <- mtcars[, -1] |> as.matrix()
model <- lightgbm(
    x, y,
    categorical_feature = "cyl"
)

Error in data$set_categorical_feature(categorical_feature) : 
  set_categorical_feature: cannot set categorical feature after freeing raw data,
          please set ‘free_raw_data = FALSE’ when you construct lgb.Dataset

Calling lgb.Dataset beforehand doesn't result in the same error.

This is with the 4.0.0 version in the release tag that says it's for CRAN.

[github-actions]

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