[ci] check PowerShell scripts with PSScriptAnalyzer (part 3)

[StrikerRUS]

Linking full original PR: #6700.
Continuation of #6709.

Closed #6498.
Closed #6700.

This PR fixes all remaining PowerShell linting issues (PSAvoidLongLines, PSAvoidUsingCmdletAliases, PSPlaceCloseBrace, PSPossibleIncorrectComparisonWithNull).

Helpful links with info about splitting long lines:

• https://stackoverflow.com/questions/2608144/how-to-split-long-commands-over-multiple-lines-in-powershell
• https://get-powershellblog.blogspot.com/2017/07/bye-bye-backtick-natural-line.html

[StrikerRUS]

Just for the consistency with other our linting scripts.

LightGBM/.ci/lint-cpp.sh

Lines 6 to 9 in 92aa07b

	cpplint \
	--filter=-build/c++11,-build/include_subdir,-build/header_guard,-whitespace/line_length \
	--recursive ./src ./include ./R-package ./swig ./tests \
	|| exit 1

LightGBM/.ci/lint-python.sh

Lines 10 to 12 in 92aa07b

	mypy \
	--config-file=./python-package/pyproject.toml \
	./python-package \

[jameslamb]

Thanks! I agree, I think this makes the scripts a little easier to read.

[jameslamb]

Looks great to me, thanks! I left one very very small question, do whatever you want with it.

[StrikerRUS]

Enclose more paths

[jameslamb]

re-approving, thanks for all the additional quoting.