[python] Deep copy params in _update_params of DataSet (#2310)

Otherwise, it would print `basic.py:762: UserWarning: categorical_feature in param dict is overridden.`. Because when updating the params for a validation test, the updated params for the train test was used which contains `'categorical_column'`.

python-package/lightgbm/basic.py

@@ -1115,7 +1115,7 @@ def _update_params(self, params):
         if self.handle is not None and params is not None:
             _safe_call(_LIB.LGBM_DatasetUpdateParam(self.handle, c_str(param_dict_to_str(params))))
         if not self.params:
-            self.params = params
+            self.params = copy.deepcopy(params)
         else:
             self.params_back_up = copy.deepcopy(self.params)
             self.params.update(params)